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Save gradients #351

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Save gradients #351

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1929169
first attempt
JaimeRZP Oct 12, 2023
e18e8a6
old project
JaimeRZP Oct 12, 2023
5436cc6
Update src/sampler.jl
JaimeRZP Oct 12, 2023
912c25b
Merge branch 'master' into save_gradient
yebai Nov 1, 2024
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24 changes: 14 additions & 10 deletions Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -4,12 +4,15 @@ version = "0.5.5"

[deps]
AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
AdvancedMH = "5b7e9947-ddc0-4b3f-9b55-0d8042f74170"
ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"
DocStringExtensions = "ffbed154-4ef7-542d-bbb7-c09d3a79fcae"
InplaceOps = "505f98c9-085e-5b2c-8e89-488be7bf1f34"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
LogDensityProblems = "6fdf6af0-433a-55f7-b3ed-c6c6e0b8df7c"
LogDensityProblemsAD = "996a588d-648d-4e1f-a8f0-a84b347e47b1"
MicroCanonicalHMC = "234d2aa0-2291-45f7-9047-6fa6f316b0a8"
Pathfinder = "b1d3bc72-d0e7-4279-b92f-7fa5d6d2d454"
ProgressMeter = "92933f4c-e287-5a05-a399-4b506db050ca"
Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
Requires = "ae029012-a4dd-5104-9daa-d747884805df"
Expand All @@ -18,6 +21,17 @@ SimpleUnPack = "ce78b400-467f-4804-87d8-8f486da07d0a"
Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
Turing = "fce5fe82-541a-59a6-adf8-730c64b5f9a0"

[weakdeps]
CUDA = "052768ef-5323-5732-b1bb-66c8b64840ba"
MCMCChains = "c7f686f2-ff18-58e9-bc7b-31028e88f75d"
OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"

[extensions]
AdvancedHMCCUDAExt = "CUDA"
AdvancedHMCMCMCChainsExt = "MCMCChains"
AdvancedHMCOrdinaryDiffEqExt = "OrdinaryDiffEq"

[compat]
AbstractMCMC = "4.2"
Expand All @@ -37,17 +51,7 @@ StatsBase = "0.31, 0.32, 0.33, 0.34"
StatsFuns = "0.8, 0.9, 1"
julia = "1.6"

[extensions]
AdvancedHMCCUDAExt = "CUDA"
AdvancedHMCMCMCChainsExt = "MCMCChains"
AdvancedHMCOrdinaryDiffEqExt = "OrdinaryDiffEq"

[extras]
CUDA = "052768ef-5323-5732-b1bb-66c8b64840ba"
MCMCChains = "c7f686f2-ff18-58e9-bc7b-31028e88f75d"
OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"

[weakdeps]
CUDA = "052768ef-5323-5732-b1bb-66c8b64840ba"
MCMCChains = "c7f686f2-ff18-58e9-bc7b-31028e88f75d"
OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"
8 changes: 7 additions & 1 deletion src/sampler.jl
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Expand Up @@ -163,6 +163,7 @@ function sample(
adaptor::AbstractAdaptor = NoAdaptation(),
n_adapts::Int = min(div(n_samples, 10), 1_000);
drop_warmup = false,
keep_gradients = false,
verbose::Bool = true,
progress::Bool = false,
(pm_next!)::Function = pm_next!,
Expand Down Expand Up @@ -225,7 +226,12 @@ function sample(
# Store sample
if !drop_warmup || i > n_adapts
j = i - drop_warmup * n_adapts
θs[j], stats[j] = t.z.θ, tstat
if keep_gradients
sample = [t.z.θ; t.z.ℓπ]
else
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sample = t.z.θ
end
θs[j], stats[j] = sample, tstat
end
end
# Report end of sampling
Expand Down
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