FIX PRECONDITIONING

blackjax/adaptation/mclmc_adaptation.py

@@ -108,7 +108,7 @@ def mclmc_find_L_and_step_size(
     )(state, params, num_steps, part1_key)
 
     if frac_tune3 != 0:
-        state, params = make_adaptation_L(mclmc_kernel, frac=frac_tune3, Lfactor=0.4)(
+        state, params = make_adaptation_L(mclmc_kernel(params.std_mat), frac=frac_tune3, Lfactor=0.4)(
             state, params, num_steps, part2_key
         )
 
@@ -129,14 +129,14 @@ def make_L_step_size_adaptation(
 
     decay_rate = (num_effective_samples - 1.0) / (num_effective_samples + 1.0)
 
-    def predictor(previous_state, params, adaptive_state, rng_key):
+    def predictor(previous_state, params, adaptive_state, rng_key, std_mat):
         """does one step with the dynamics and updates the prediction for the optimal stepsize
         Designed for the unadjusted MCHMC"""
 
         time, x_average, step_size_max = adaptive_state
 
         # dynamics
-        next_state, info = kernel(
+        next_state, info = kernel(std_mat)(
             rng_key=rng_key,
             state=previous_state,
             L=params.L,
@@ -176,26 +176,30 @@ def predictor(previous_state, params, adaptive_state, rng_key):
         return state, params_new, adaptive_state, success
 
 
-    def step(iteration_state, weight_and_key):
-        """does one step of the dynamics and updates the estimate of the posterior size and optimal stepsize"""
+    def make_step(std_mat):
+
+        def step(iteration_state, weight_and_key):
+            """does one step of the dynamics and updates the estimate of the posterior size and optimal stepsize"""
 
-        mask, rng_key = weight_and_key
-        state, params, adaptive_state, streaming_avg = iteration_state
+            mask, rng_key = weight_and_key
+            state, params, adaptive_state, streaming_avg = iteration_state
 
-        state, params, adaptive_state, success = predictor(
-            state, params, adaptive_state, rng_key
-        )
+            state, params, adaptive_state, success = predictor(
+                state, params, adaptive_state, rng_key, std_mat
+            )
 
-        # update the running average of x, x^2
-        streaming_avg = streaming_average(
-            O=lambda x: jnp.array([x, jnp.square(x)]),
-            x=ravel_pytree(state.position)[0],
-            streaming_avg=streaming_avg,
-            weight=(1-mask)*success*params.step_size,
-            zero_prevention=mask,
-        )
+            # update the running average of x, x^2
+            streaming_avg = streaming_average(
+                O=lambda x: jnp.array([x, jnp.square(x)]),
+                x=ravel_pytree(state.position)[0],
+                streaming_avg=streaming_avg,
+                weight=(1-mask)*success*params.step_size,
+                zero_prevention=mask,
+            )
 
-        return (state, params, adaptive_state, streaming_avg), None
+            return (state, params, adaptive_state, streaming_avg), None
+
+        return step 
 
     def L_step_size_adaptation(state, params, num_steps, rng_key):
         num_steps1, num_steps2 = int(num_steps * frac_tune1), int(
@@ -211,7 +215,7 @@ def L_step_size_adaptation(state, params, num_steps, rng_key):
 
         # run the steps
         state, params, _, (_, average) = jax.lax.scan(
-            step,
+            make_step(1.),
             init=(
                 state,
                 params,
@@ -240,7 +244,7 @@ def L_step_size_adaptation(state, params, num_steps, rng_key):
                 steps = num_steps2 // 3 #we do some small number of steps
                 keys = jax.random.split(final_key, steps)
                 state, params, _, (_, average) = jax.lax.scan(
-                    step,
+                    make_step(std_mat),
                     init=(
                         state,
                         params,

blackjax/benchmarks/mcmc/explore.py

@@ -116,17 +116,30 @@ def run_mclmc_with_tuning(logdensity_fn, num_steps, initial_position, key, trans
 #     key=sample_key,
 #     transform=lambda x: x.position[:2],
 # )
-# print(samples.var(axis=0))
-m = IllConditionedGaussian(2, 5)
+# # print(samples.var(axis=0))
+# m = IllConditionedGaussian(10, 5)
+# sampler = lambda logdensity_fn, num_steps, initial_position, key: run_mclmc(logdensity_fn=logdensity_fn, num_steps=num_steps, initial_position=initial_position, key=key, transform=lambda x:x.position, 
+#     #  std_mat=jnp.ones((10,))
+#      std_mat=jnp.sqrt(m.E_x2)
+#      , L=2.6576319, step_size=3.40299)
+# print(m.E_x2, "var")
+
+# # sampler = 'mclmc'
+# # samplers[sampler]
+# result, bias, _ = benchmark_chains(m, sampler, n=5000, batch=1000//m.ndims,favg=m.E_x2, fvar=m.Var_x2)
+
+# print(result)
+
+
 # m = StandardNormal(10)
 # sampler = lambda logdensity_fn, num_steps, initial_position, key: run_mclmc(logdensity_fn=logdensity_fn, num_steps=num_steps, initial_position=initial_position, key=key, transform=lambda x:x.position, 
-#      std_mat=jnp.ones((2,))
-#     #  std_mat=m.E_x2
-#      , L=1.7296296, step_size=0.814842)
-print(m.E_x2)
+#      std_mat=jnp.ones((10,))
+#      , L=2.6576319, step_size=3.40299)
+# # print(m.E_x2, "var")
 
-sampler = 'mclmc'
+# # sampler = 'mclmc'
+# # samplers[sampler]
+# result, bias, _ = benchmark_chains(m, sampler, n=5000, batch=1000//m.ndims,favg=m.E_x2, fvar=m.Var_x2)
 
-result, bias, _ = benchmark_chains(m, samplers[sampler], n=5000, batch=1000//m.ndims,favg=m.E_x2, fvar=m.Var_x2)
+# print(result)
 
-print(result)

blackjax/benchmarks/mcmc/sampling_algorithms.py

@@ -47,11 +47,11 @@ def run_mclmc(logdensity_fn, num_steps, initial_position, transform, key):
     )
 
     integrator = blackjax.mcmc.integrators.isokinetic_mclachlan
-
-    kernel = blackjax.mcmc.mclmc.build_kernel(
+    kernel = lambda std_mat : blackjax.mcmc.mclmc.build_kernel(
         logdensity_fn=logdensity_fn,
         integrator=integrator,
-        std_mat=jnp.ones((initial_position.shape[0],)),
+        # std_mat=jnp.ones((initial_position.shape[0],)),
+        std_mat=std_mat,
     )
 
     (
@@ -62,7 +62,7 @@ def run_mclmc(logdensity_fn, num_steps, initial_position, transform, key):
         num_steps=num_steps,
         state=initial_state,
         rng_key=tune_key,
-        diagonal_preconditioning=False
+        diagonal_preconditioning=True
     )
 
     # jax.debug.print("params {x}", x=blackjax_mclmc_sampler_params)