Crate mini_mcmc

Mini MCMC

A compact Rust library offering Markov Chain Monte Carlo (MCMC) methods, including Hamiltonian Monte Carlo (HMC), Metropolis–Hastings, and Gibbs Sampling for both discrete and continuous targets.

Getting Started

To use this library, add it to your project:

cargo add mini-mcmc

The library provides three main sampling approaches:

1. Metropolis-Hastings: For general-purpose sampling. You need to provide:
   • A target distribution implementing the Target trait
   • A proposal distribution implementing the Proposal trait
2. Hamiltonian Monte Carlo (HMC): For continuous distributions with gradients. You need to provide:
   • A target distribution implementing the GradientTarget trait
3. Gibbs Sampling: For sampling when conditional distributions are available. You need to provide:
   • A distribution implementing the Conditional trait

Example 1: Sampling a 2D Gaussian (Metropolis–Hastings)

use mini_mcmc::core::{ChainRunner, init};
use mini_mcmc::distributions::{Gaussian2D, IsotropicGaussian};
use mini_mcmc::metropolis_hastings::MetropolisHastings;
use ndarray::{arr1, arr2};

let target = Gaussian2D {
    mean: arr1(&[0.0, 0.0]),
    cov: arr2(&[[1.0, 0.0], [0.0, 1.0]]),
};
let proposal = IsotropicGaussian::new(1.0);
let initial_state = [0.0, 0.0];

let mut mh = MetropolisHastings::new(target, proposal, init(4, 2));
let samples = mh.run(1000, 100).unwrap();
println!("Metropolis–Hastings samples shape: {:?}", samples.shape());

Example 2: Sampling a 3D Rosenbrock (HMC)

use burn::tensor::Element;
use burn::{backend::Autodiff, prelude::Tensor};
use mini_mcmc::hmc::HMC;
use mini_mcmc::distributions::GradientTarget;
use mini_mcmc::core::init;
use num_traits::Float;

/// The 3D Rosenbrock distribution.
///
/// For a point x = (x₁, x₂, x₃), the log density is defined as
///
///   f(x) = 100*(x₂ - x₁²)² + (1 - x₁)² + 100*(x₃ - x₂²)² + (1 - x₂)².
///
/// This implementation generalizes to d dimensions, but here we use it for 3D.
struct RosenbrockND {}

impl<T, B> GradientTarget<T, B> for RosenbrockND
where
    T: Float + std::fmt::Debug + Element,
    B: burn::tensor::backend::AutodiffBackend,
{
    fn unnorm_logp(&self, positions: Tensor<B, 2>) -> Tensor<B, 1> {
        // Assume positions has shape [n_chains, d] with d = 3.
        let k = positions.dims()[0] as i64;
        let n = positions.dims()[1] as i64;
        let low = positions.clone().slice([(0, k), (0, n - 1)]);
        let high = positions.clone().slice([(0, k), (1, n)]);
        let term_1 = (high - low.clone().powi_scalar(2))
            .powi_scalar(2)
            .mul_scalar(100);
        let term_2 = low.neg().add_scalar(1).powi_scalar(2);
        -(term_1 + term_2).sum_dim(1).squeeze(1)
    }
}

// Use the CPU backend wrapped in Autodiff (e.g., NdArray).
type BackendType = Autodiff<burn::backend::NdArray>;

// Create the 3D Rosenbrock target.
let target = RosenbrockND {};

// Define initial positions for 6 chains (each a 3D point).
let initial_positions = init(6, 3);

// Create the HMC sampler with a step size of 0.01 and 5 leapfrog steps.
let mut sampler = HMC::<f32, BackendType, RosenbrockND>::new(
    target,
    initial_positions,
    0.032,
    5,
);

// Run the sampler for 123+45 iterations, discard 45 burnin samples
let samples = sampler.run(123, 45);

// Print the shape of the collected samples.
println!("Collected samples with shape: {:?}", samples.dims());

Example 3: Sampling a Poisson Distribution (Discrete)

use mini_mcmc::core::{ChainRunner, init};
use mini_mcmc::distributions::{Proposal, Target};
use mini_mcmc::metropolis_hastings::MetropolisHastings;
use rand::Rng;

#[derive(Clone)]
struct PoissonTarget {
    lambda: f64,
}

impl Target<usize, f64> for PoissonTarget {
    /// unnorm_logp(k) = log( p(k) ), ignoring normalizing constants if you wish.
    /// For Poisson(k|lambda) = exp(-lambda) * (lambda^k / k!)
    /// so log p(k) = -lambda + k*ln(lambda) - ln(k!)
    /// which is enough to do MH acceptance.
    fn unnorm_logp(&self, theta: &[usize]) -> f64 {
        let k = theta[0];
        -self.lambda + (k as f64) * self.lambda.ln() - ln_factorial(k as u64)
    }
}

#[derive(Clone)]
struct NonnegativeProposal;

impl Proposal<usize, f64> for NonnegativeProposal {
    fn sample(&mut self, current: &[usize]) -> Vec<usize> {
        let x = current[0];
        if x == 0 {
            vec![1]
        } else {
            let step_up = rand::thread_rng().gen_bool(0.5);
            vec![if step_up { x + 1 } else { x - 1 }]
        }
    }

    fn logp(&self, from: &[usize], to: &[usize]) -> f64 {
        let (x, y) = (from[0], to[0]);
        if x == 0 && y == 1 {
            0.0
        } else if x > 0 && (y == x + 1 || y == x - 1) {
            (0.5_f64).ln()
        } else {
            f64::NEG_INFINITY
        }
    }
    fn set_seed(self, _seed: u64) -> Self {
        self
    }
}

fn ln_factorial(k: u64) -> f64 {
    (1..=k).map(|v| (v as f64).ln()).sum()
}

let target = PoissonTarget { lambda: 4.0 };
let proposal = NonnegativeProposal;
let initial_state = vec![vec![0]];

let mut mh = MetropolisHastings::new(target, proposal, initial_state);
let samples = mh.run(5000, 100).unwrap();
println!("Poisson samples shape: {:?}", samples.shape());

For more complete implementations (including Gibbs sampling and I/O helpers), see the examples/ directory.

Features

• Parallel Chains for improved throughput
• Progress Indicators (acceptance rates, iteration counts)
• Common Distributions (e.g. Gaussian) plus easy traits for custom log‐prob
• Optional I/O (CSV, Arrow, Parquet) and GPU sampling (WGPU)
• Effective Sample Size (ESS) estimation following STAN’s methodology
• R-hat Diagnostics for convergence monitoring

Roadmap

• No-U-Turn Sampler (NUTS)
• Rank-Normalized R-hat diagnostics
• Ensemble Slice Sampling (ESS)

Modules

core

Core MCMC Utilities.

distributions

Traits for defining continuous and discrete proposal- and target distributions. Includes an implementations of commonly used distributions.

gibbs

Gibbs Sampling Sampler.

hmc

Hamiltonian Monte Carlo (HMC) sampler.

io

Helper functions for saving samples to disk.

ks_test

Two-sample Kolmogorov–Smirnov test.

metropolis_hastings

Metropolis–Hastings Sampler.

stats

Computation and tracking of MCMC statistics like acceptance probability and Potential Scale Reduction.