Add Autodiff compatable emulator and Barker gradient-based sampler#339
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Add Autodiff compatable emulator and Barker gradient-based sampler#339
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Codecov ReportAttention: Patch coverage is
Additional details and impacted files@@ Coverage Diff @@
## main #339 +/- ##
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+ Coverage 88.82% 88.96% +0.13%
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Files 7 7
Lines 1271 1359 +88
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+ Hits 1129 1209 +80
- Misses 142 150 +8 ☔ View full report in Codecov by Sentry. |
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Merging as all tests pass and coverage is high |
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Purpose
Closes #341
Closes #342
Closes #343
Closes #344
Closes #345
Content
From a private repos of @KotaOK-00 - and with additional changes to interface
AutodiffProtocolcontaining derived typesGradFreeProtocolForwardDiffProtocolandReverseDiffProtocol. autodiff options are created with the MCMCProtocol, e.g.,Within the MCMC
proposestep, we make calls toautodiff_gradientandautodiff_hessianthat dispatch off the pre-specified autodiff protocol in the
sampler. e.g. forForwardDiffProtocolthis runsThis will make adding new autodiff options easier
AGPJLfor AbstractGPs. When building an emulator with AGPJL, As there is no optimizer of such kernels, we allow users to train e.g. with GPJL, then do the following:If the user does not provide kernel_params, a useful error message appears to direct them what to do.
GaussianProcesses/runtests.jlfor AGP interface as above, and that GPJL vs AGP gives very similar emulator predicitionsMarkovChainMonteCarlo/runtests.jlfor AGP on RWM and pCN sampling - give similar posterior means to GPJL (NB it is much slower, 5-10x)MarkovChainMonteCarlo/runtests.jlfor Barker update (ForwardDiff and ReverseDiff) with comparable results to RWM.Emulators produce similar outputs.
MISC