Add BaytesOptim

.github/workflows/CI.yml

@@ -18,7 +18,6 @@ jobs:
       fail-fast: false
       matrix:
         version:
-          - '1.8'
           - '1.9'
           - 'nightly'
         os:

Project.toml

@@ -1,13 +1,14 @@
 name = "Baytes"
 uuid = "72ddfcfc-6e9d-43df-829b-7aed7c549d4f"
 authors = ["Patrick Aschermayr <p.aschermayr@gmail.com>"]
-version = "0.3.9"
+version = "0.3.10"
 
 [deps]
 ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"
 BaytesCore = "e5a8efeb-54cd-4583-bf9c-87b09970f7ba"
 BaytesFilters = "26b78818-2f47-47c8-af4b-89b2c3dade3f"
 BaytesMCMC = "8e6e46a0-107e-4f93-8296-97663f3953ce"
+BaytesOptim = "c78c806d-0713-4f4e-8b87-f7023233ea83"
 BaytesPMCMC = "c4a8eb41-45be-4f57-9046-b06303d6bef8"
 BaytesSMC = "2428e3a5-deaa-4b4d-8ec5-54cd60d7566c"
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
@@ -26,6 +27,7 @@ ArgCheck = "2"
 BaytesCore = "0.2"
 BaytesFilters = "0.3"
 BaytesMCMC = "0.3"
+BaytesOptim = "0.1"
 BaytesPMCMC = "0.3"
 BaytesSMC = "0.3"
 DocStringExtensions = "0.8, 0.9"
@@ -38,8 +40,10 @@ SimpleUnPack = "1"
 julia = "^1.8"
 
 [extras]
+NLSolversBase = "d41bc354-129a-5804-8e4c-c37616107c6c"
+Optim = "429524aa-4258-5aef-a3af-852621145aeb"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Test", "Distributions"]
+test = ["Test", "Distributions", "NLSolversBase", "Optim"]

test/runtests.jl

@@ -10,7 +10,11 @@ using Distributions
 using
     ModelWrappers,
     Baytes
+using BaytesOptim
+
+#include("D:/OneDrive/1_Life/1_Git/0_Dev/Julia/modules/Baytes.jl/src/Baytes.jl")
 #using .Baytes
+
 ############################################################################################
 # Include Files
 include("testhelper/TestHelper.jl")

test/test-construction.jl

@@ -274,6 +274,118 @@ end
     end
 end
 
+############################################################################################
+#tempermethod = tempermethods[1]
+#iter = length(objectives)
+using Optim, NLSolversBase
+@testset "Sampling, BaytesOptim" begin
+    for tempermethod in tempermethods
+        for iter in eachindex(objectives)
+            #println(tempermethod, " ", iter)
+                sampledefault = SampleDefault(;
+                    dataformat=Batch(),
+                    tempering=deepcopy(tempermethod), #IterationTempering(Float64, UpdateFalse(), 1.0, 1000),
+                    chains=4,
+                    iterations=100,
+                    burnin=max(1, Int64(floor(10/10))),
+                    thinning = 1,
+                    safeoutput=false,
+                    printoutput=false,
+                    printdefault=PrintDefault(),
+                    report=ProgressReport(;
+                        bar=false,
+                        log=SilentLog()
+                    ),
+                )
+                temperupdate = sampledefault.tempering.adaption
+                _obj = deepcopy(objectives[iter])
+                _flattentype = _obj.model.info.reconstruct.default.output
+## Optimization
+                def = OptimDefault(; 
+                kernel = (;
+                    magnitude_penalty = 1e-4,
+                    iterations = 1000
+                    )
+                )
+                opt = Optimizer(
+                _rng,
+                OptimLBFG,
+                _obj,
+                def,
+                )
+## Test Constructor
+                mcmc = MCMC(NUTS,(:σ,); stepsize = ConfigStepsize(;stepsizeadaption = UpdateFalse()))
+                _oc = OptimConstructor(OptimLBFG, :μ, 
+                OptimDefault(; 
+                    kernel = (;
+                        iterations = 123)
+                ) 
+                )
+                Optimizer(OptimLBFG, :μ)
+                trace, algorithms = sample(_rng, _obj.model, _obj.data, _oc; default = deepcopy(sampledefault))
+
+## Inference Section
+                transform = Baytes.TraceTransform(trace, _obj.model)
+                postmean = trace_to_posteriormean(trace, transform)
+
+                post3D = trace_to_3DArray(trace, transform)
+                post3Dᵤ = trace_to_3DArrayᵤ(trace, transform)
+                @test size(post3D) == size(post3Dᵤ)
+                post2D = trace_to_2DArray(trace, transform)
+                post2Dᵤ = trace_to_2DArrayᵤ(trace, transform)
+                @test size(post2D) == size(post2Dᵤ)        
+##
+                #Check trace transforms
+                g_vals = get_chainvals(trace, transform)
+                m_vals = merge_chainvals(trace, transform)
+                f_vals = flatten_chainvals(trace, transform)
+                @test sum( map(val -> length(val), g_vals) ) == length(m_vals) == sum( map(val -> length(val), f_vals) )
+
+                #Check printing commands
+                printchainsummary(trace, transform, Val(:text))
+                printchainsummary(_obj.model, trace, transform, Val(:text))
+#=
+                ## SMC
+                ibis = SMCConstructor(_oc, SMCDefault(jitterthreshold=0.99, resamplingthreshold=1.0))
+                trace, algorithms = sample(_rng, _obj.model, _obj.data, ibis; default = deepcopy(sampledefault))
+                ## If single mcmc kernel assigned, can capture previous results
+                @test isa(trace.summary.info.captured, UpdateFalse)
+                ## Continue sampling
+                newdat = randn(_rng, length(_obj.data)+100)
+                trace2, algorithms2 = sample!(100, _rng, _obj.model, newdat, trace, algorithms)
+                @test isa(trace2.summary.info.captured, UpdateFalse)
+=#                
+## Combinations
+                trace, algorithms = sample(_rng, _obj.model, _obj.data, mcmc, _oc; default = deepcopy(sampledefault))
+                transform = Baytes.TraceTransform(trace, _obj.model)
+                printchainsummary(trace, transform, Val(:text))
+                m_vals = merge_chainvals(trace, transform)
+                ## Continue sampling
+                newdat = randn(_rng, length(_obj.data)+100)
+                trace2, algorithms2 = sample!(100, _rng, _obj.model, newdat, trace, algorithms)
+            end
+    end
+end
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 ############################################################################################
 #Utility
 @testset "Utility, maxiterations" begin