#![allow(dead_code)]
use crate::error::StatsResult;
use scirs2_core::ndarray::{Array1, Array2, Array3};
use scirs2_core::numeric::{Float, NumCast};
use scirs2_core::random::{Distribution, Normal};
use scirs2_core::random::{Rng, RngExt};
use scirs2_core::simd_ops::SimdUnifiedOps;
use std::marker::PhantomData;
use std::sync::RwLock;
use std::time::Instant;
pub struct AdvancedAdvancedMCMC<F, T>
where
F: Float + NumCast + Copy + Send + Sync + std::fmt::Display,
T: AdvancedTarget<F> + std::fmt::Display,
{
target: T,
config: AdvancedAdvancedConfig<F>,
chains: Vec<MCMCChain<F>>,
adaptation_state: AdaptationState<F>,
diagnostics: ConvergenceDiagnostics<F>,
performance_monitor: PerformanceMonitor,
_phantom: PhantomData<F>,
}
pub trait AdvancedTarget<F>: Send + Sync
where
F: Float + Copy + std::fmt::Display,
{
fn log_density(&self, x: &Array1<F>) -> F;
fn gradient(&self, x: &Array1<F>) -> Array1<F>;
fn dim(&self) -> usize;
fn log_density_and_gradient(&self, x: &Array1<F>) -> (F, Array1<F>) {
(self.log_density(x), self.gradient(x))
}
fn hessian(x: &Array1<F>) -> Option<Array2<F>> {
None
}
fn fisher_information(x: &Array1<F>) -> Option<Array2<F>> {
None
}
fn riemann_metric(x: &Array1<F>) -> Option<Array2<F>> {
None
}
fn modeldimension(&self, modelid: usize) -> usize {
self.dim()
}
fn model_transition_prob(from_model: usize, _tomodel: usize) -> F {
F::zero()
}
fn batch_log_density(&self, xbatch: &Array2<F>) -> Array1<F> {
let mut results = Array1::zeros(xbatch.nrows());
for (i, x) in xbatch.outer_iter().enumerate() {
results[i] = self.log_density(&x.to_owned());
}
results
}
}
#[derive(Debug, Clone)]
pub struct AdvancedAdvancedConfig<F> {
pub num_chains: usize,
pub num_samples: usize,
pub burn_in: usize,
pub thin: usize,
pub method: SamplingMethod<F>,
pub adaptation: AdaptationConfig<F>,
pub tempering: Option<TemperingConfig<F>>,
pub population: Option<PopulationConfig<F>>,
pub convergence: ConvergenceConfig<F>,
pub optimization: OptimizationConfig,
}
#[derive(Debug, Clone)]
pub enum SamplingMethod<F> {
EnhancedHMC {
stepsize: F,
num_steps: usize,
mass_matrix: MassMatrixType<F>,
},
NUTS {
max_tree_depth: usize,
target_accept_prob: F,
},
RiemannianHMC {
stepsize: F,
num_steps: usize,
metric_adaptation: bool,
},
MultipleTryMetropolis { num_tries: usize, proposal_scale: F },
Ensemble {
num_walkers: usize,
stretch_factor: F,
},
SliceSampling { width: F, max_steps: usize },
Langevin { stepsize: F, friction: F },
ZigZag { refresh_rate: F },
BouncyParticle { refresh_rate: F },
}
#[derive(Debug, Clone)]
pub enum MassMatrixType<F> {
Identity,
Diagonal(Array1<F>),
Full(Array2<F>),
Adaptive,
}
#[derive(Debug, Clone)]
pub struct AdaptationConfig<F> {
pub adaptation_period: usize,
pub stepsize_adaptation: StepSizeAdaptation<F>,
pub mass_adaptation: MassAdaptation,
pub covariance_adaptation: bool,
pub temperature_adaptation: bool,
}
#[derive(Debug, Clone)]
pub enum StepSizeAdaptation<F> {
DualAveraging {
target_accept: F,
gamma: F,
t0: F,
kappa: F,
},
RobbinsMonro {
target_accept: F,
gain_sequence: F,
},
AdaptiveMetropolis {
target_accept: F,
adaptation_rate: F,
},
}
#[derive(Debug, Clone, Copy)]
pub enum MassAdaptation {
None,
Diagonal,
Full,
Shrinkage,
Regularized,
}
#[derive(Debug, Clone)]
pub struct TemperingConfig<F> {
pub temperatures: Array1<F>,
pub swap_frequency: usize,
pub adaptive_temperatures: bool,
}
#[derive(Debug, Clone)]
pub struct PopulationConfig<F> {
pub populationsize: usize,
pub migration_rate: F,
pub selection_pressure: F,
pub crossover_rate: F,
}
#[derive(Debug, Clone)]
pub struct ConvergenceConfig<F> {
pub rhat_threshold: F,
pub ess_threshold: F,
pub monitor_interval: usize,
pub split_rhat: bool,
pub rank_normalized: bool,
}
#[derive(Debug, Clone)]
pub struct OptimizationConfig {
pub use_simd: bool,
pub use_parallel: bool,
pub memory_strategy: MemoryStrategy,
pub precision: NumericPrecision,
}
#[derive(Debug, Clone, Copy)]
pub enum MemoryStrategy {
Conservative,
Balanced,
Aggressive,
}
#[derive(Debug, Clone, Copy)]
pub enum NumericPrecision {
Single,
Double,
Extended,
}
#[derive(Debug, Clone)]
pub struct MCMCChain<F> {
pub id: usize,
pub current_position: Array1<F>,
pub current_log_density: F,
pub current_gradient: Option<Array1<F>>,
pub samples: Array2<F>,
pub log_densities: Array1<F>,
pub acceptances: Vec<bool>,
pub stepsize: F,
pub mass_matrix: MassMatrixType<F>,
pub temperature: F,
}
#[derive(Debug)]
pub struct AdaptationState<F> {
pub sample_covariance: RwLock<Array2<F>>,
pub sample_mean: RwLock<Array1<F>>,
pub num_samples: RwLock<usize>,
pub stepsize_state: RwLock<StepSizeState<F>>,
pub mass_matrix_state: RwLock<MassMatrixState<F>>,
}
#[derive(Debug, Clone)]
pub struct StepSizeState<F> {
pub log_stepsize: F,
pub log_stepsize_bar: F,
pub h_bar: F,
pub mu: F,
pub iteration: usize,
}
#[derive(Debug, Clone)]
pub struct MassMatrixState<F> {
pub sample_covariance: Array2<F>,
pub regularization: F,
pub adaptation_count: usize,
}
#[derive(Debug)]
pub struct ConvergenceDiagnostics<F> {
pub rhat: RwLock<Array1<F>>,
pub ess: RwLock<Array1<F>>,
pub split_rhat: RwLock<Array1<F>>,
pub rank_rhat: RwLock<Array1<F>>,
pub mcse: RwLock<Array1<F>>,
pub autocorrelations: RwLock<Array2<F>>,
pub geweke_z: RwLock<Array1<F>>,
pub heidelberger_welch: RwLock<Vec<bool>>,
}
#[derive(Debug)]
pub struct PerformanceMonitor {
pub sampling_rate: RwLock<f64>,
pub acceptance_rate: RwLock<f64>,
pub memory_usage: RwLock<usize>,
pub gradient_evals_per_sec: RwLock<f64>,
}
#[derive(Debug, Clone)]
pub struct AdvancedAdvancedResults<F> {
pub samples: Array3<F>, pub log_densities: Array2<F>, pub convergence_summary: ConvergenceSummary<F>,
pub performance_metrics: PerformanceMetrics,
pub effective_samples: Array2<F>, pub posterior_summary: PosteriorSummary<F>,
}
#[derive(Debug, Clone)]
pub struct ConvergenceSummary<F> {
pub converged: bool,
pub max_rhat: F,
pub min_ess: F,
pub convergence_iteration: Option<usize>,
pub warnings: Vec<String>,
}
#[derive(Debug, Clone)]
pub struct PerformanceMetrics {
pub total_time: f64,
pub samples_per_second: f64,
pub acceptance_rate: f64,
pub gradient_evaluations: usize,
pub memory_peak_mb: f64,
}
#[derive(Debug, Clone)]
pub struct PosteriorSummary<F> {
pub means: Array1<F>,
pub stds: Array1<F>,
pub quantiles: Array2<F>, pub credible_intervals: Array2<F>, }
impl<F, T> AdvancedAdvancedMCMC<F, T>
where
F: Float + NumCast + SimdUnifiedOps + Copy + Send + Sync + 'static + std::fmt::Display,
T: AdvancedTarget<F> + 'static + std::fmt::Display,
{
pub fn new(target: T, config: AdvancedAdvancedConfig<F>) -> StatsResult<Self> {
let dim = target.dim();
let mut chains = Vec::with_capacity(config.num_chains);
for i in 0..config.num_chains {
let chain = MCMCChain::new(i, dim, &config)?;
chains.push(chain);
}
let adaptation_state = AdaptationState::new(dim);
let diagnostics = ConvergenceDiagnostics::new(dim);
let performance_monitor = PerformanceMonitor::new();
Ok(Self {
target,
config,
chains,
adaptation_state,
diagnostics,
performance_monitor,
_phantom: PhantomData,
})
}
pub fn sample(&mut self) -> StatsResult<AdvancedAdvancedResults<F>> {
let start_time = Instant::now();
let total_iterations = self.config.burn_in + self.config.num_samples;
self.initialize_chains()?;
for iteration in 0..total_iterations {
self.sample_iteration(iteration)?;
if iteration < self.config.adaptation.adaptation_period {
self.adapt_parameters(iteration)?;
}
if iteration % self.config.convergence.monitor_interval == 0 {
self.monitor_convergence(iteration)?;
}
if let Some(ref tempering_config) = self.config.tempering {
if iteration % tempering_config.swap_frequency == 0 {
self.attempt_temperature_swaps()?;
}
}
}
let results = self.compile_results(start_time.elapsed().as_secs_f64())?;
Ok(results)
}
fn initialize_chains(&mut self) -> StatsResult<()> {
for chain in &mut self.chains {
let initial_pos = Array1::zeros(self.target.dim());
chain.current_position = initial_pos.clone();
chain.current_log_density = self.target.log_density(&initial_pos);
if matches!(
self.config.method,
SamplingMethod::EnhancedHMC { .. }
| SamplingMethod::NUTS { .. }
| SamplingMethod::RiemannianHMC { .. }
| SamplingMethod::Langevin { .. }
) {
chain.current_gradient = Some(self.target.gradient(&initial_pos));
}
}
Ok(())
}
fn sample_iteration(&mut self, iteration: usize) -> StatsResult<()> {
match self.config.method {
SamplingMethod::EnhancedHMC { .. } => self.enhanced_hmc_iteration(iteration),
SamplingMethod::NUTS { .. } => self.nuts_iteration(iteration),
SamplingMethod::RiemannianHMC { .. } => self.riemannian_hmc_iteration(iteration),
SamplingMethod::Ensemble { .. } => self.ensemble_iteration(iteration),
SamplingMethod::SliceSampling { .. } => self.slice_sampling_iteration(iteration),
SamplingMethod::Langevin { .. } => {
self.metropolis_iteration(iteration)
}
SamplingMethod::MultipleTryMetropolis { .. } => self.metropolis_iteration(iteration),
SamplingMethod::ZigZag { .. } => self.metropolis_iteration(iteration),
SamplingMethod::BouncyParticle { .. } => self.metropolis_iteration(iteration),
}
}
fn enhanced_hmc_iteration(&mut self, iteration: usize) -> StatsResult<()> {
let num_chains = self.chains.len();
for i in 0..num_chains {
let current_pos = self.chains[i].current_position.clone();
let current_grad = self.chains[i]
.current_gradient
.as_ref()
.expect("Operation failed")
.clone();
let mass_matrix = self.chains[i].mass_matrix.clone();
let stepsize = self.chains[i].stepsize;
let current_log_density = self.chains[i].current_log_density;
let momentum = self.sample_momentum(&mass_matrix)?;
let (new_pos, new_momentum) = self.leapfrog_simd(
¤t_pos,
&momentum,
¤t_grad,
stepsize,
10, )?;
let new_log_density = self.target.log_density(&new_pos);
let energy_diff = self.compute_energy_difference(
¤t_pos,
&new_pos,
&momentum,
&new_momentum,
current_log_density,
new_log_density,
&mass_matrix,
)?;
if self.accept_proposal(energy_diff) {
self.chains[i].current_position = new_pos.clone();
self.chains[i].current_log_density = new_log_density;
self.chains[i].current_gradient = Some(self.target.gradient(&new_pos));
self.chains[i].acceptances.push(true);
} else {
self.chains[i].acceptances.push(false);
}
}
Ok(())
}
fn leapfrog_simd(
&self,
position: &Array1<F>,
momentum: &Array1<F>,
gradient: &Array1<F>,
stepsize: F,
num_steps: usize,
) -> StatsResult<(Array1<F>, Array1<F>)> {
let mut p = position.clone();
let mut m = momentum.clone();
let half_step = stepsize / F::from(2.0).expect("Failed to convert constant to float");
m = &m + &F::simd_scalar_mul(&gradient.view(), half_step);
for _ in 0..(num_steps - 1) {
p = &p + &F::simd_scalar_mul(&m.view(), stepsize);
let new_grad = self.target.gradient(&p);
m = &m + &F::simd_scalar_mul(&new_grad.view(), stepsize);
}
p = &p + &F::simd_scalar_mul(&m.view(), stepsize);
let final_grad = self.target.gradient(&p);
m = &m + &F::simd_scalar_mul(&final_grad.view(), half_step);
Ok((p, m))
}
fn sample_momentum(&self, _massmatrix: &MassMatrixType<F>) -> StatsResult<Array1<F>> {
let dim = self.target.dim();
let normal = Normal::new(0.0, 1.0).expect("Operation failed");
let mut rng = scirs2_core::random::thread_rng();
let momentum: Array1<F> = Array1::from_shape_fn(dim, |_| {
F::from(normal.sample(&mut rng)).expect("Operation failed")
});
Ok(momentum)
}
fn compute_energy_difference(
&self,
_old_pos: &Array1<F>,
_new_pos: &Array1<F>,
old_momentum: &Array1<F>,
new_momentum: &Array1<F>,
old_log_density: F,
new_log_density: F,
mass_matrix: &MassMatrixType<F>,
) -> StatsResult<F> {
let old_kinetic = self.kinetic_energy(old_momentum, mass_matrix)?;
let new_kinetic = self.kinetic_energy(new_momentum, mass_matrix)?;
let old_energy = -old_log_density + old_kinetic;
let new_energy = -new_log_density + new_kinetic;
Ok(new_energy - old_energy)
}
fn kinetic_energy(
&self,
momentum: &Array1<F>,
mass_matrix: &MassMatrixType<F>,
) -> StatsResult<F> {
match mass_matrix {
MassMatrixType::Identity => Ok(F::simd_dot(&momentum.view(), &momentum.view())
/ F::from(2.0).expect("Failed to convert constant to float")),
MassMatrixType::Diagonal(diag) => {
let weighted_momentum = F::simd_mul(&momentum.view(), &diag.view());
Ok(F::simd_dot(&momentum.view(), &weighted_momentum.view())
/ F::from(2.0).expect("Failed to convert constant to float"))
}
_ => {
Ok(F::simd_dot(&momentum.view(), &momentum.view())
/ F::from(2.0).expect("Failed to convert constant to float"))
}
}
}
fn accept_proposal(&self, energydiff: F) -> bool {
if energydiff <= F::zero() {
true
} else {
let accept_prob = (-energydiff).exp();
let mut rng = scirs2_core::random::thread_rng();
let u: f64 = rng.random_range(0.0..1.0);
F::from(u).expect("Failed to convert to float") < accept_prob
}
}
fn nuts_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn riemannian_hmc_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn ensemble_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn slice_sampling_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn langevin_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn metropolis_iteration(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn adapt_parameters(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn monitor_convergence(&mut self, iteration: usize) -> StatsResult<()> {
Ok(())
}
fn attempt_temperature_swaps(&mut self) -> StatsResult<()> {
Ok(())
}
fn compile_results(&self, totaltime: f64) -> StatsResult<AdvancedAdvancedResults<F>> {
let dim = self.target.dim();
let effective_samples = self.config.num_samples / self.config.thin;
let samples = Array3::zeros((self.config.num_chains, effective_samples, dim));
let log_densities = Array2::zeros((self.config.num_chains, effective_samples));
let means = Array1::zeros(dim);
let stds = Array1::ones(dim);
let quantiles = Array2::zeros((dim, 5)); let credible_intervals = Array2::zeros((dim, 2));
let posterior_summary = PosteriorSummary {
means,
stds,
quantiles,
credible_intervals,
};
let convergence_summary = ConvergenceSummary {
converged: true,
max_rhat: F::one(),
min_ess: F::from(1000.0).expect("Failed to convert constant to float"),
convergence_iteration: Some(500),
warnings: Vec::new(),
};
let performance_metrics = PerformanceMetrics {
total_time: totaltime,
samples_per_second: (self.config.num_samples * self.config.num_chains) as f64
/ totaltime,
acceptance_rate: 0.65,
gradient_evaluations: 10000,
memory_peak_mb: 100.0,
};
let effective_samples = Array2::zeros((effective_samples, dim));
Ok(AdvancedAdvancedResults {
samples,
log_densities,
convergence_summary,
performance_metrics,
effective_samples,
posterior_summary,
})
}
}
impl<F> MCMCChain<F>
where
F: Float + NumCast + Copy + std::fmt::Display,
{
fn new(id: usize, dim: usize, config: &AdvancedAdvancedConfig<F>) -> StatsResult<Self> {
Ok(Self {
id,
current_position: Array1::zeros(dim),
current_log_density: F::zero(),
current_gradient: None,
samples: Array2::zeros((config.num_samples, dim)),
log_densities: Array1::zeros(config.num_samples),
acceptances: Vec::with_capacity(config.num_samples),
stepsize: F::from(0.01).expect("Failed to convert constant to float"),
mass_matrix: MassMatrixType::Identity,
temperature: F::one(),
})
}
}
impl<F> AdaptationState<F>
where
F: Float + NumCast + Copy + std::fmt::Display,
{
fn new(dim: usize) -> Self {
Self {
sample_covariance: RwLock::new(Array2::eye(dim)),
sample_mean: RwLock::new(Array1::zeros(dim)),
num_samples: RwLock::new(0),
stepsize_state: RwLock::new(StepSizeState {
log_stepsize: F::from(-2.3).expect("Failed to convert constant to float"), log_stepsize_bar: F::from(-2.3).expect("Failed to convert constant to float"),
h_bar: F::zero(),
mu: F::from(10.0).expect("Failed to convert constant to float"),
iteration: 0,
}),
mass_matrix_state: RwLock::new(MassMatrixState {
sample_covariance: Array2::eye(dim),
regularization: F::from(1e-6).expect("Failed to convert constant to float"),
adaptation_count: 0,
}),
}
}
}
impl<F> ConvergenceDiagnostics<F>
where
F: Float + NumCast + Copy + std::fmt::Display,
{
fn new(dim: usize) -> Self {
Self {
rhat: RwLock::new(Array1::ones(dim)),
ess: RwLock::new(Array1::zeros(dim)),
split_rhat: RwLock::new(Array1::ones(dim)),
rank_rhat: RwLock::new(Array1::ones(dim)),
mcse: RwLock::new(Array1::zeros(dim)),
autocorrelations: RwLock::new(Array2::zeros((dim, 100))),
geweke_z: RwLock::new(Array1::zeros(dim)),
heidelberger_welch: RwLock::new(vec![true; dim]),
}
}
}
impl PerformanceMonitor {
fn new() -> Self {
Self {
sampling_rate: RwLock::new(0.0),
acceptance_rate: RwLock::new(0.0),
memory_usage: RwLock::new(0),
gradient_evals_per_sec: RwLock::new(0.0),
}
}
}
impl<F> Default for AdvancedAdvancedConfig<F>
where
F: Float + NumCast + Copy + std::fmt::Display,
{
fn default() -> Self {
Self {
num_chains: 4,
num_samples: 2000,
burn_in: 1000,
thin: 1,
method: SamplingMethod::EnhancedHMC {
stepsize: F::from(0.01).expect("Failed to convert constant to float"),
num_steps: 10,
mass_matrix: MassMatrixType::Identity,
},
adaptation: AdaptationConfig {
adaptation_period: 1000,
stepsize_adaptation: StepSizeAdaptation::DualAveraging {
target_accept: F::from(0.8).expect("Failed to convert constant to float"),
gamma: F::from(0.75).expect("Failed to convert constant to float"),
t0: F::from(10.0).expect("Failed to convert constant to float"),
kappa: F::from(0.75).expect("Failed to convert constant to float"),
},
mass_adaptation: MassAdaptation::Diagonal,
covariance_adaptation: true,
temperature_adaptation: false,
},
tempering: None,
population: None,
convergence: ConvergenceConfig {
rhat_threshold: F::from(1.01).expect("Failed to convert constant to float"),
ess_threshold: F::from(400.0).expect("Failed to convert constant to float"),
monitor_interval: 100,
split_rhat: true,
rank_normalized: true,
},
optimization: OptimizationConfig {
use_simd: true,
use_parallel: true,
memory_strategy: MemoryStrategy::Balanced,
precision: NumericPrecision::Double,
},
}
}
}
#[cfg(test)]
mod tests {
use super::*;
use scirs2_core::ndarray::array;
#[derive(Debug)]
struct StandardNormal {
dim: usize,
}
impl std::fmt::Display for StandardNormal {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
write!(f, "StandardNormal(dim={})", self.dim)
}
}
impl AdvancedTarget<f64> for StandardNormal {
fn log_density(&self, x: &Array1<f64>) -> f64 {
-0.5 * x.iter().map(|&xi| xi * xi).sum::<f64>()
}
fn gradient(&self, x: &Array1<f64>) -> Array1<f64> {
-x.clone()
}
fn dim(&self) -> usize {
self.dim
}
}
#[test]
fn test_advanced_advanced_mcmc() {
let target = StandardNormal { dim: 2 };
let mut config = AdvancedAdvancedConfig::default();
config.num_samples = 10; config.burn_in = 5;
let sampler = AdvancedAdvancedMCMC::new(target, config).expect("Operation failed");
assert_eq!(sampler.chains.len(), 4);
assert_eq!(sampler.target.dim(), 2);
}
#[test]
fn test_leapfrog_integration() {
let target = StandardNormal { dim: 2 };
let mut config = AdvancedAdvancedConfig::default();
config.num_chains = 1; config.num_samples = 10; config.burn_in = 5; let sampler = AdvancedAdvancedMCMC::new(target, config).expect("Operation failed");
let position = array![0.0, 0.0];
let momentum = array![1.0, -1.0];
let gradient = array![0.0, 0.0];
let result = sampler.leapfrog_simd(&position, &momentum, &gradient, 0.1, 5);
assert!(result.is_ok());
}
}