tfp.mcmc.TransformedTransitionKernel

TransformedTransitionKernel applies a bijector to the MCMC's state space.

Inherits From: TransitionKernel

tfp.mcmc.TransformedTransitionKernel(
    inner_kernel, bijector, name=None
)

Used in the notebooks

Used in the tutorials
Multilevel Modeling Primer in TensorFlow Probability TensorFlow Probability Case Study: Covariance Estimation A Tour of TensorFlow Probability Bayesian Gaussian Mixture Model and Hamiltonian MCMC Bayesian Switchpoint Analysis

The TransformedTransitionKernel TransitionKernel enables fitting a tfp.bijectors.Bijector which serves to decorrelate the Markov chain Monte Carlo (MCMC) event dimensions thus making the chain mix faster. This is particularly useful when the geometry of the target distribution is unfavorable. In such cases it may take many evaluations of the target_log_prob_fn for the chain to mix between faraway states.

The idea of training an affine function to decorrelate chain event dims was presented in [Parno and Marzouk (2014)][1]. Used in conjunction with the HamiltonianMonteCarlo TransitionKernel, the [Parno and Marzouk (2014)][1] idea is an instance of Riemannian manifold HMC [(Girolami and Calderhead, 2011)][2].

The TransformedTransitionKernel enables arbitrary bijective transformations of arbitrary TransitionKernels, e.g., one could use bijectors tfp.bijectors.Affine, tfp.bijectors.RealNVP, etc. with transition kernels tfp.mcmc.HamiltonianMonteCarlo, tfp.mcmc.RandomWalkMetropolis, etc.

Transforming nested kernels

TransformedTransitionKernel can operate on multiply nested kernels, as in the following example:

tfp.mcmc.TransformedTransitionKernel(
  inner_kernel=tfp.mcmc.SimpleStepSizeAdaptation(
    inner_kernel=tfp.mcmc.HamiltonianMonteCarlo(
      ... # doesn't matter
    ),
    num_adaptation_steps=9)
  bijector=tfb.Identity()))

Upon construction, TransformedTransitionKernel searches the given inner_kernel and the "stack" of nested kernels in any inner_kernel fields thereof until it finds one with a field called target_log_prob_fn, and replaces this with the transformed function. If no inner_kernel has such a target log prob a ValueError is raised.

Mathematical Details

TransformedTransitionKernel enables Markov chains which operate in "unconstrained space." Since we interpret the bijector as mapping "unconstrained space" to "user space", this means that the MCMC transformed target_log_prob is:

target_log_prob(bij.forward(x)) + bij.forward_log_det_jacobian(x)

Recall that tfp.distributions.TransformedDistribution uses the inverse to compute its log_prob. Despite this difference, the use of forward in TransformedTransitionKernel is perfectly consistent with TransformedDistribution following the TFP convention of "sampling" being what defines semantics. The apparent difference is because TransformedDistribution.log_prob is derived from a user provided distribution while in TransformedTransitionKernel samples are derived from target_log_prob_fn. That is, in TransformedDistribution we do:

x ~ NoiseDistribution()
y = bij.forward(x)
log_prob_y = NoiseDistribution().log_prob(bij.inverse(y))

             + bij.inverse_log_det_jacobian(y)

yet in TransformedTransitionKernel we do:

x ~ MCMC()
y = bij.forward(x)
log_prob_y = log_prob(y) + bij.forward_log_det_jacobian(x)

In other words (and in general), tfp.mcmc is derived from a log_prob which what induces a seeming direction convention change. Aside from TFP convention, that Bijectors should adhere to "sample first" semantics is important because it mitigates pervasive necessity of tfp.bijectors.Invert in user code.

Examples

RealNVP + HamiltonianMonteCarlo

a 1-layer RealNVP is a pretty weak density model, since it can't change the density of the masked dimensions
we're not actually training the bijector to do anything useful.

import tensorflow as tf
import tensorflow_probability as tfp
tfd = tfp.distributions
tfb = tfp.bijectors

def make_likelihood(true_variances):
  return tfd.MultivariateNormalDiag(
      scale_diag=tf.sqrt(true_variances))

dims = 10
dtype = np.float32
true_variances = tf.linspace(dtype(1), dtype(3), dims)
likelihood = make_likelihood(true_variances)

realnvp_hmc = tfp.mcmc.TransformedTransitionKernel(
    inner_kernel=tfp.mcmc.HamiltonianMonteCarlo(
      target_log_prob_fn=likelihood.log_prob,
      step_size=0.5,
      num_leapfrog_steps=2),
    bijector=tfb.RealNVP(
      num_masked=2,
      shift_and_log_scale_fn=tfb.real_nvp_default_template(
          hidden_layers=[512, 512])))

states, kernel_results = tfp.mcmc.sample_chain(
    num_results=1000,
    current_state=tf.zeros(dims),
    kernel=realnvp_hmc,
    num_burnin_steps=500)

# Compute sample stats.
sample_mean = tf.reduce_mean(states, axis=0)
sample_var = tf.reduce_mean(
    tf.squared_difference(states, sample_mean),
    axis=0)

References

[1]: Matthew Parno and Youssef Marzouk. Transport map accelerated Markov chain Monte Carlo. arXiv preprint arXiv:1412.5492, 2014. https://arxiv.org/abs/1412.5492

[2]: Mark Girolami and Ben Calderhead. Riemann manifold langevin and hamiltonian monte carlo methods. In Journal of the Royal Statistical Society, 2011. https://doi.org/10.1111/j.1467-9868.2010.00765.x

Args
`inner_kernel`	`TransitionKernel`-like object that either has a `target_log_prob_fn` argument, or wraps around another `inner_kernel` with said argument.
`bijector`	`tfp.distributions.Bijector` or list of `tfp.distributions.Bijector`s. These bijectors use `forward` to map the `inner_kernel` state space to the state expected by `inner_kernel.target_log_prob_fn`.
`name`	Python `str` name prefixed to Ops created by this function. Default value: `None` (i.e., "transformed_kernel").

Attributes
`bijector`
`inner_kernel`
`is_calibrated`	Returns `True` if Markov chain converges to specified distribution. `TransitionKernel`s which are "uncalibrated" are often calibrated by composing them with the `tfp.mcmc.MetropolisHastings` `TransitionKernel`.
`name`
`parameters`	Return `dict` of `__init__` arguments and their values.

Methods

`bootstrap_results`

View source

bootstrap_results(
    init_state=None, transformed_init_state=None
)

Returns an object with the same type as returned by one_step.

Unlike other TransitionKernels, TransformedTransitionKernel.bootstrap_results has the option of initializing the TransformedTransitionKernelResults from either an initial state, eg, requiring computing bijector.inverse(init_state), or directly from transformed_init_state, i.e., a Tensor or list of Tensors which is interpretted as the bijector.inverse transformed state.

Args
`init_state`	`Tensor` or Python `list` of `Tensor`s representing the a state(s) of the Markov chain(s). Must specify `init_state` or `transformed_init_state` but not both.
`transformed_init_state`	`Tensor` or Python `list` of `Tensor`s representing the a state(s) of the Markov chain(s). Must specify `init_state` or `transformed_init_state` but not both.

Returns
`kernel_results`	A (possibly nested) `tuple`, `namedtuple` or `list` of `Tensor`s representing internal calculations made within this function.

Raises
`ValueError`	if none of the nested `inner_kernel` results contain the member "target_log_prob".

Examples

To use transformed_init_state in context of tfp.mcmc.sample_chain, you need to explicitly pass the previous_kernel_results, e.g.,

transformed_kernel = tfp.mcmc.TransformedTransitionKernel(...)
init_state = ...        # Doesnt matter.
transformed_init_state = ... # Does matter.
results = tfp.mcmc.sample_chain(
    num_results=...,
    current_state=init_state,
    previous_kernel_results=transformed_kernel.bootstrap_results(
        transformed_init_state=transformed_init_state),
    trace_fn=None,
    kernel=transformed_kernel)

`copy`

View source

copy(
    **override_parameter_kwargs
)

Non-destructively creates a deep copy of the kernel.

Args
`**override_parameter_kwargs`	Python String/value `dictionary` of initialization arguments to override with new values.

Returns
`new_kernel`	`TransitionKernel` object of same type as `self`, initialized with the union of self.parameters and override_parameter_kwargs, with any shared keys overridden by the value of override_parameter_kwargs, i.e., `dict(self.parameters, **override_parameters_kwargs)`.

`one_step`

View source

one_step(
    current_state, previous_kernel_results, seed=None
)

Runs one iteration of the Transformed Kernel.

Args
`current_state`	`Tensor` or Python `list` of `Tensor`s representing the current state(s) of the Markov chain(s), after application of `bijector.forward`. The first `r` dimensions index independent chains, `r = tf.rank(target_log_prob_fn(*current_state))`. The `inner_kernel.one_step` does not actually use `current_state`, rather it takes as input `previous_kernel_results.transformed_state` (because `TransformedTransitionKernel` creates a copy of the input inner_kernel with a modified `target_log_prob_fn` which internally applies the `bijector.forward`).
`previous_kernel_results`	`collections.namedtuple` containing `Tensor`s representing values from previous calls to this function (or from the `bootstrap_results` function.)
`seed`	Optional, a seed for reproducible sampling.

Returns
`next_state`	Tensor or Python list of `Tensor`s representing the state(s) of the Markov chain(s) after taking exactly one step. Has same type and shape as `current_state`.
`kernel_results`	`collections.namedtuple` of internal calculations used to advance the chain.

tfp.mcmc.TransformedTransitionKernel

Used in the notebooks

Transforming nested kernels

Mathematical Details

Examples

RealNVP + HamiltonianMonteCarlo

References

Args

Attributes

Methods

bootstrap_results

Examples

copy

one_step

`bootstrap_results`

`copy`

`one_step`