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[Waiting on Stan PR] Adds psis_resample and calculate_lp as options for pathfinder #1234

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merged 5 commits into from
Jan 8, 2024
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[Waiting on Stan PR] Adds psis_resample and calculate_lp as options for pathfinder #1234

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d3febde
adds psis_resample and calculate_lp as options for pathfinder
SteveBronder Jan 5, 2024
5fefd32
[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1
stan-buildbot Jan 5, 2024
9b8e17d
update docs for pathfinder option lp_calculate
SteveBronder Jan 8, 2024
fff4472
update docs about return for calculate_lp
SteveBronder Jan 8, 2024
8b1d6a7
fix psis_resample and calculate_lp args
SteveBronder Jan 8, 2024
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4 changes: 4 additions & 0 deletions .gitignore
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Original file line number Diff line number Diff line change
Expand Up @@ -52,3 +52,7 @@ output*.csv
*.o
# gdb
.gdb_history

#vscode
.vscode/*
.vscode/**
13 changes: 13 additions & 0 deletions src/cmdstan/arguments/arg_pathfinder.hpp
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Expand Up @@ -21,6 +21,19 @@ class arg_pathfinder : public arg_lbfgs {
_subarguments.push_back(new arg_single_bool(
"save_single_paths", "Output single-path pathfinder draws as CSV",
false));
_subarguments.push_back(new arg_single_bool(
"psis_resample",
"If true, perform psis resampling on samples returned"
" from individual pathfinders. If false, returns num_paths * num_draws"
" samples",
true));
_subarguments.push_back(new arg_single_bool(
"calculate_lp",
"If true, individual pathfinders do not calculate lp."
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this seems counter-intuitive - true == do it, false == don't do it?

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Yes! I mixed up the docs, lp values are calculated for true and not for false

" If false, returns num_paths * num_draws samples. The output will "
"still contain any lp values used when calculating ELBO scores within"
" LBFGS iterations.",
true));
_subarguments.push_back(new arg_single_int_pos(
"max_lbfgs_iters", "Maximum number of LBFGS iterations", 1000));
_subarguments.push_back(new arg_single_int_pos(
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9 changes: 6 additions & 3 deletions src/cmdstan/command.hpp
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Expand Up @@ -313,7 +313,10 @@ int command(int argc, const char *argv[]) {
int num_draws = get_arg_val<int_argument>(*pathfinder_arg, "num_draws");
int num_psis_draws
= get_arg_val<int_argument>(*pathfinder_arg, "num_psis_draws");

bool psis_resample
= get_arg_val<bool_argument>(*pathfinder_arg, "psis_resample");
bool calculate_lp
= get_arg_val<bool_argument>(*pathfinder_arg, "calculate_lp");
if (num_psis_draws > num_draws * num_chains) {
logger.warn(
"Warning: Number of PSIS draws is larger than the total number of "
Expand All @@ -332,7 +335,7 @@ int command(int argc, const char *argv[]) {
history_size, init_alpha, tol_obj, tol_rel_obj, tol_grad,
tol_rel_grad, tol_param, max_lbfgs_iters, num_elbo_draws, num_draws,
save_single_paths, refresh, interrupt, logger, init_writer,
sample_writers[0], diagnostic_json_writers[0]);
sample_writers[0], diagnostic_json_writers[0], calculate_lp);
} else {
auto output_filenames = make_filenames(output_file, "", ".csv", 1, id);
auto ofs = std::make_unique<std::ofstream>(output_filenames[0]);
Expand All @@ -348,7 +351,7 @@ int command(int argc, const char *argv[]) {
max_lbfgs_iters, num_elbo_draws, num_draws, num_psis_draws,
num_chains, save_single_paths, refresh, interrupt, logger,
init_writers, sample_writers, diagnostic_json_writers,
pathfinder_writer, dummy_json_writer);
pathfinder_writer, dummy_json_writer, psis_resample, calculate_lp);
}
// ---- pathfinder end ---- //
} else if (user_method->arg("generate_quantities")) {
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7 changes: 6 additions & 1 deletion src/cmdstan/command_helper.hpp
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Expand Up @@ -78,7 +78,12 @@ inline constexpr auto get_arg(List &&arg_list, const char *arg1,
*/
template <typename caster, typename Arg>
inline constexpr auto get_arg_val(Arg &&argument, const char *arg_name) {
return dynamic_cast<std::decay_t<caster> *>(argument.arg(arg_name))->value();
auto *arg = argument.arg(arg_name);
if (arg) {
return dynamic_cast<std::decay_t<caster> *>(arg)->value();
} else {
throw std::invalid_argument(std::string("Unable to find: ") + arg_name);
}
}

/**
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