Example: Nested Sampling for Gaussian Shells

This example illustrates the usage of the contrib class NestedSampler, which is a wrapper of jaxns library ([1]) to be used for NumPyro models.

Here we will replicate the Gaussian Shells demo at [2] and compare against NUTS sampler.

References:

import argparse

import matplotlib.pyplot as plt

import jax
from jax import random
import jax.numpy as jnp

import numpyro
from numpyro.contrib.nested_sampling import NestedSampler
import numpyro.distributions as dist
from numpyro.infer import MCMC, NUTS, DiscreteHMCGibbs


class GaussianShell(dist.Distribution):
    support = dist.constraints.real_vector

    def __init__(self, loc, radius, width):
        self.loc, self.radius, self.width = loc, radius, width
        super().__init__(batch_shape=loc.shape[:-1], event_shape=loc.shape[-1:])

    def sample(self, key, sample_shape=()):
        return jnp.zeros(
            sample_shape + self.shape()
        )  # a dummy sample to initialize the samplers

    def log_prob(self, value):
        normalizer = (-0.5) * (jnp.log(2.0 * jnp.pi) + 2.0 * jnp.log(self.width))
        d = jnp.linalg.norm(value - self.loc, axis=-1)
        return normalizer - 0.5 * ((d - self.radius) / self.width) ** 2


def model(center1, center2, radius, width, enum=False):
    z = numpyro.sample(
        "z", dist.Bernoulli(0.5), infer={"enumerate": "parallel"} if enum else {}
    )
    x = numpyro.sample("x", dist.Uniform(-6.0, 6.0).expand([2]).to_event(1))
    center = jnp.stack([center1, center2])[z]
    numpyro.sample("shell", GaussianShell(center, radius, width), obs=x)


def run_inference(args, data):
    print("=== Performing Nested Sampling ===")
    ns = NestedSampler(model)
    ns.run(random.PRNGKey(0), **data, enum=args.enum)
    # TODO: Remove this condition when jaxns is compatible with the latest jax version.
    if jax.__version__ < "0.2.21":
        ns.print_summary()
    # samples obtained from nested sampler are weighted, so
    # we need to provide random key to resample from those weighted samples
    ns_samples = ns.get_samples(random.PRNGKey(1), num_samples=args.num_samples)

    print("\n=== Performing MCMC Sampling ===")
    if args.enum:
        mcmc = MCMC(
            NUTS(model), num_warmup=args.num_warmup, num_samples=args.num_samples
        )
    else:
        mcmc = MCMC(
            DiscreteHMCGibbs(NUTS(model)),
            num_warmup=args.num_warmup,
            num_samples=args.num_samples,
        )
    mcmc.run(random.PRNGKey(2), **data)
    mcmc.print_summary()
    mcmc_samples = mcmc.get_samples()

    return ns_samples["x"], mcmc_samples["x"]


def main(args):
    data = dict(
        radius=2.0,
        width=0.1,
        center1=jnp.array([-3.5, 0.0]),
        center2=jnp.array([3.5, 0.0]),
    )
    ns_samples, mcmc_samples = run_inference(args, data)

    # plotting
    fig, (ax1, ax2) = plt.subplots(
        2, 1, sharex=True, figsize=(8, 8), constrained_layout=True
    )

    ax1.plot(mcmc_samples[:, 0], mcmc_samples[:, 1], "ro", alpha=0.2)
    ax1.set(
        xlim=(-6, 6),
        ylim=(-2.5, 2.5),
        ylabel="x[1]",
        title="Gaussian-shell samples using NUTS",
    )

    ax2.plot(ns_samples[:, 0], ns_samples[:, 1], "ro", alpha=0.2)
    ax2.set(
        xlim=(-6, 6),
        ylim=(-2.5, 2.5),
        xlabel="x[0]",
        ylabel="x[1]",
        title="Gaussian-shell samples using Nested Sampler",
    )

    plt.savefig("gaussian_shells_plot.pdf")


if __name__ == "__main__":
    assert numpyro.__version__.startswith("0.8.0")
    parser = argparse.ArgumentParser(description="Nested sampler for Gaussian shells")
    parser.add_argument("-n", "--num-samples", nargs="?", default=10000, type=int)
    parser.add_argument("--num-warmup", nargs="?", default=1000, type=int)
    parser.add_argument(
        "--enum",
        action="store_true",
        default=False,
        help="whether to enumerate over the discrete latent variable",
    )
    parser.add_argument("--device", default="cpu", type=str, help='use "cpu" or "gpu".')
    args = parser.parse_args()

    numpyro.set_platform(args.device)

    main(args)

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