Mercurial > pylearn
changeset 1341:fbe4a6383441
HMC: perform half-step on velocity first (instead of position).
On a 5D gaussian this led to better performance than the previous
implementation.
author | gdesjardins |
---|---|
date | Fri, 22 Oct 2010 10:58:57 -0400 |
parents | 04b988fb00b6 |
children | 4ac393ec2eb7 |
files | pylearn/sampling/hmc.py |
diffstat | 1 files changed, 64 insertions(+), 14 deletions(-) [+] |
line wrap: on
line diff
--- a/pylearn/sampling/hmc.py Thu Oct 21 16:18:52 2010 -0400 +++ b/pylearn/sampling/hmc.py Fri Oct 22 10:58:57 2010 -0400 @@ -62,33 +62,83 @@ return energy_fn(pos) + kinetic_energy(vel, 1) def simulate_dynamics(initial_p, initial_v, stepsize, n_steps, energy_fn): - """Return final (position, velocity) of `n_step` trajectory """ + Return final (position, velocity) obtained after an `n_steps` leapfrog updates, using + Hamiltonian dynamics. + + Parameters + ---------- + initial_p: shared theano matrix + Initial position at which to start the simulation + initial_v: shared theano matrix + Initial velocity of particles + stepsize: shared theano scalar + Scalar value controlling amount by which to move + energy_fn: python function + Python function, operating on symbolic theano variables, used to compute the potential + energy at a given position. + + Returns + ------- + rval1: theano matrix + Final positions obtained after simulation + rval2: theano matrix + Final velocity obtained after simulation + """ + def leapfrog(pos, vel, step): - egy = energy_fn(pos) - dE_dpos = TT.grad(egy.sum(), pos) + """ + Inside loop of Scan. Performs one step of leapfrog update, using Hamiltonian dynamics. + + Parameters + ---------- + pos: theano matrix + in leapfrog update equations, represents pos(t), position at time t + vel: theano matrix + in leapfrog update equations, represents vel(t + stepsize/2), + velocity at time (t + stepsize/2) + step: theano scalar + scalar value controlling amount by which to move + + Returns + ------- + rval1: [theano matrix, theano matrix] + Symbolic theano matrices for new position pos(t + stepsize), and velocity + vel(t+3*stepsize/2) + rval2: dictionary + Dictionary of updates for the Scan Op + """ + # from pos(t) and vel(t-sigma/2), compute vel(t+sigma/2) + dE_dpos = TT.grad(energy_fn(pos).sum(), pos) new_vel = vel - step * dE_dpos + # from vel(t+sigma/2) compute pos(t+sigma) new_pos = pos + step * new_vel return [new_pos, new_vel],{} + # compute velocity at time-step: t + sigma/2 + initial_energy = energy_fn(initial_p) + dE_dpos = TT.grad(initial_energy.sum(), initial_p) + v_half_step = initial_v - 0.5*stepsize*dE_dpos + + p_full_step = initial_p + stepsize * v_half_step + + # perform leapfrog updates: the scan op is used to repeatedly compute pos(t_1 + n*sigma) and + # vel(t_1 + n*sigma + 1/2) for n in [0,n_steps-2]. (final_p, final_v), scan_updates = theano.scan(leapfrog, outputs_info=[ - dict(initial=initial_p+ 0.5*stepsize*initial_v, - return_steps=1), - dict(initial=initial_v, - return_steps=1), + dict(initial=p_full_step, return_steps=1), + dict(initial=v_half_step, return_steps=1), ], non_sequences=[stepsize], - n_steps=n_steps) + n_steps=n_steps-1) - if scan_updates: - raise NotImplementedError(( - 'TODO: check the scan updates to make sure that the s_rng is' - ' not being updated incorrectly')) - # undo half of the last leap-frog step - final_p = final_p - 0.5* stepsize * final_v + # The last velocity returned by the scan op is at time-step: t + n_steps* stepsize - 1/2 + # We therefore perform one more half-step to return vel(t + n_steps*stepsize) + energy = energy_fn(final_p) + final_v = final_v - 0.5 * stepsize * TT.grad(energy.sum(), final_p) return final_p, final_v + def mcmc_move(s_rng, positions, energy_fn, stepsize, n_steps, positions_shape=None): """Return new position """