Implement AutoHierarchicalNormalMessenger

docs/source/infer.autoguide.rst

@@ -141,6 +141,14 @@ AutoNormalMessenger
     :member-order: bysource
     :show-inheritance:
 
+AutoHierarchicalNormalMessenger
+-------------------------------
+.. autoclass:: pyro.infer.autoguide.AutoHierarchicalNormalMessenger
+    :members:
+    :undoc-members:
+    :member-order: bysource
+    :show-inheritance:
+
 AutoRegressiveMessenger
 -----------------------
 .. autoclass:: pyro.infer.autoguide.AutoRegressiveMessenger

pyro/infer/autoguide/__init__.py

@@ -2,6 +2,7 @@
 # SPDX-License-Identifier: Apache-2.0
 
 from pyro.infer.autoguide.effect import (
+    AutoHierarchicalNormalMessenger,
     AutoMessenger,
     AutoNormalMessenger,
     AutoRegressiveMessenger,
@@ -50,6 +51,7 @@
     "AutoMultivariateNormal",
     "AutoNormal",
     "AutoNormalMessenger",
+    "AutoHierarchicalNormalMessenger",
     "AutoNormalizingFlow",
     "AutoRegressiveMessenger",
     "AutoStructured",

pyro/infer/autoguide/effect.py

@@ -1,7 +1,7 @@
 # Copyright Contributors to the Pyro project.
 # SPDX-License-Identifier: Apache-2.0
 
-from typing import Callable, Tuple, Union
+from typing import Callable, Optional, Tuple, Union
 
 import torch
 from torch.distributions import biject_to, constraints
@@ -63,9 +63,9 @@ def call(self, *args, **kwargs):
         return tuple(v for _, v in sorted(result.items()))
 
     @torch.no_grad()
-    def _remove_outer_plates(self, value: torch.Tensor, event_dim: int) -> torch.Tensor:
+    def _adjust_plates(self, value: torch.Tensor, event_dim: int) -> torch.Tensor:
         """
-        Removes particle plates from initial values of parameters.
+        Adjusts plates for generating initial values of parameters.
         """
         for f in get_plates():
             full_size = getattr(f, "full_size", f.size)
@@ -187,7 +187,7 @@ def _get_params(self, name: str, prior: Distribution):
             event_dim = transform.domain.event_dim
             constrained = self.init_loc_fn({"name": name, "fn": prior}).detach()
             unconstrained = transform.inv(constrained)
-            init_loc = self._remove_outer_plates(unconstrained, event_dim)
+            init_loc = self._adjust_plates(unconstrained, event_dim)
             init_scale = torch.full_like(init_loc, self._init_scale)
 
         deep_setattr(self, "locs." + name, PyroParam(init_loc, event_dim=event_dim))
@@ -211,6 +211,155 @@ def _get_posterior_median(self, name, prior):
         return transform(loc)
 
 
+class AutoHierarchicalNormalMessenger(AutoNormalMessenger):
+    """
+    :class:`AutoMessenger` with mean-field normal posterior conditional on all dependencies.
+
+    The mean-field posterior at any site is a transformed normal distribution,
+    the mean of which depends on the value of that site given its dependencies in the model:
+
+        loc_total = loc + transform.inv(prior.mean) * weight
+
+    Where the value of `prior.mean` is conditional on upstream sites in the model,
+    loc is independent component of the mean in the untransformed space,
+    weight is element-wise factor that scales the prior mean.
+    This approach doesn't work for distributions that don't have the mean.
+
+    Derived classes may override particular sites and use this simply as a
+    default, see :class:`AutoNormalMessenger` documentation for example.
+
+    :param callable model: A Pyro model.
+    :param callable init_loc_fn: A per-site initialization function.
+        See :ref:`autoguide-initialization` section for available functions.
+    :param float init_scale: Initial scale for the standard deviation of each
+        (unconstrained transformed) latent variable.
+    :param float init_weight: Initial value for the weight of the contribution
+        of hierarchical sites to posterior mean for each latent variable.
+    :param list hierarchical_sites: List of latent variables (model sites)
+        that have hierarchical dependencies.
+        If None, all sites are assumed to have hierarchical dependencies. If None, for the sites
+        that don't have upstream sites, the loc and weight of the guide
+        are representing/learning deviation from the prior.
+    """
+
+    # 'element-wise' or 'scalar'
+    weight_type = "element-wise"
+
+    def __init__(
+        self,
+        model: Callable,
+        *,
+        init_loc_fn: Callable = init_to_mean(fallback=init_to_feasible),
+        init_scale: float = 0.1,
+        amortized_plates: Tuple[str, ...] = (),
+        init_weight: float = 1.0,
+        hierarchical_sites: Optional[list] = None,
+    ):
+        if not isinstance(init_scale, float) or not (init_scale > 0):
+            raise ValueError("Expected init_scale > 0. but got {}".format(init_scale))
+        super().__init__(model, amortized_plates=amortized_plates)
+        self.init_loc_fn = init_loc_fn
+        self._init_scale = init_scale
+        self._init_weight = init_weight
+        self._hierarchical_sites = hierarchical_sites
+        self._computing_median = False
+
+    def get_posterior(
+        self, name: str, prior: Distribution
+    ) -> Union[Distribution, torch.Tensor]:
+        if self._computing_median:
+            return self._get_posterior_median(name, prior)
+
+        with helpful_support_errors({"name": name, "fn": prior}):
+            transform = biject_to(prior.support)
+        if (self._hierarchical_sites is None) or (name in self._hierarchical_sites):
+            # If hierarchical_sites not specified all sites are assumed to be hierarchical
+            loc, scale, weight = self._get_params(name, prior)
+            loc = loc + transform.inv(prior.mean) * weight
+            posterior = dist.TransformedDistribution(
+                dist.Normal(loc, scale).to_event(transform.domain.event_dim),
+                transform.with_cache(),
+            )
+            return posterior
+        else:
+            # Fall back to mean field when hierarchical_sites list is not empty and site not in the list.
+            return super().get_posterior(name, prior)
+
+    def _get_params(self, name: str, prior: Distribution):
+        try:
+            loc = deep_getattr(self.locs, name)
+            scale = deep_getattr(self.scales, name)
+            if (self._hierarchical_sites is None) or (name in self._hierarchical_sites):
+                weight = deep_getattr(self.weights, name)
+                return loc, scale, weight
+            else:
+                return loc, scale
+        except AttributeError:
+            pass
+
+        # Initialize.
+        with torch.no_grad():
+            transform = biject_to(prior.support)
+            event_dim = transform.domain.event_dim
+            constrained = self.init_loc_fn({"name": name, "fn": prior}).detach()
+            unconstrained = transform.inv(constrained)
+            init_loc = self._adjust_plates(unconstrained, event_dim)
+            init_scale = torch.full_like(init_loc, self._init_scale)
+            if self.weight_type == "scalar":
+                # weight is a single value parameter
+                init_weight = torch.full((), self._init_weight)
+            if self.weight_type == "element-wise":
+                # weight is element-wise
+                init_weight = torch.full_like(init_loc, self._init_weight)
+            # if site is hierarchical substract contribution of dependencies from init_loc
+            if (self._hierarchical_sites is None) or (name in self._hierarchical_sites):
+                init_prior_mean = self._adjust_plates(prior.mean, event_dim)
+                init_loc = init_loc - init_weight * transform.inv(init_prior_mean)
+
+        deep_setattr(self, "locs." + name, PyroParam(init_loc, event_dim=event_dim))
+        deep_setattr(
+            self,
+            "scales." + name,
+            PyroParam(init_scale, constraint=constraints.positive, event_dim=event_dim),
+        )
+        if (self._hierarchical_sites is None) or (name in self._hierarchical_sites):
+            if self.weight_type == "scalar":
+                # weight is a single value parameter
+                deep_setattr(
+                    self,
+                    "weights." + name,
+                    PyroParam(init_weight, constraint=constraints.positive),
+                )
+            if self.weight_type == "element-wise":
+                # weight is element-wise
+                deep_setattr(
+                    self,
+                    "weights." + name,
+                    PyroParam(
+                        init_weight,
+                        constraint=constraints.positive,
+                        event_dim=event_dim,
+                    ),
+                )
+        return self._get_params(name, prior)
+
+    def median(self, *args, **kwargs):
+        self._computing_median = True
+        try:
+            return self(*args, **kwargs)
+        finally:
+            self._computing_median = False
+
+    def _get_posterior_median(self, name, prior):
+        transform = biject_to(prior.support)
+        if (self._hierarchical_sites is None) or (name in self._hierarchical_sites):
+            loc, scale, weight = self._get_params(name, prior)
+            loc = loc + transform.inv(prior.mean) * weight
+        else:
+            loc, scale = self._get_params(name, prior)
+        return transform(loc)
+
+
 class AutoRegressiveMessenger(AutoMessenger):
     """
     :class:`AutoMessenger` with recursively affine-transformed priors using
@@ -291,7 +440,7 @@ def _get_params(self, name: str, prior: Distribution):
             unconstrained = transform.inv(constrained)
             # Initialize the distribution to be an affine combination:
             #   init_scale * prior + (1 - init_scale) * init_loc
-            init_loc = self._remove_outer_plates(unconstrained, event_dim)
+            init_loc = self._adjust_plates(unconstrained, event_dim)
             init_loc = init_loc * (1 - self._init_scale)
             init_scale = torch.full_like(init_loc, self._init_scale)
 

tests/infer/test_autoguide.py

@@ -32,6 +32,7 @@
     AutoGaussian,
     AutoGuide,
     AutoGuideList,
+    AutoHierarchicalNormalMessenger,
     AutoIAFNormal,
     AutoLaplaceApproximation,
     AutoLowRankMultivariateNormal,
@@ -119,6 +120,7 @@ def model():
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -378,6 +380,7 @@ def __init__(self, model):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
     ],
 )
 @pytest.mark.parametrize("Elbo", [JitTrace_ELBO, JitTraceGraph_ELBO, JitTraceEnum_ELBO])
@@ -451,6 +454,7 @@ def serialization_model():
             ],
         ),
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         xfail_param(AutoRegressiveMessenger, reason="jit does not support _Dirichlet"),
     ],
 )
@@ -718,6 +722,7 @@ def model():
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
     ],
 )
 def test_init_loc_fn(auto_class):
@@ -783,6 +788,7 @@ def model():
         functools.partial(AutoNormal, init_loc_fn=init_to_median),
         functools.partial(AutoGaussian, init_loc_fn=init_to_median),
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
     ],
 )
 @pytest.mark.parametrize("Elbo", [Trace_ELBO, TraceGraph_ELBO, TraceEnum_ELBO])
@@ -874,6 +880,7 @@ def forward(self):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1018,6 +1025,7 @@ def forward(self, x, y=None):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1049,6 +1057,7 @@ def model():
         AutoDelta,
         AutoNormal,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1086,6 +1095,7 @@ def model(x, y=None, batch_size=None):
     "auto_class",
     [
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1258,6 +1268,7 @@ def model():
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1293,6 +1304,7 @@ def model():
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1370,6 +1382,7 @@ def __init__(self, model):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1437,6 +1450,7 @@ def model(data):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1500,6 +1514,7 @@ def model(data):
         AutoGaussian,
         AutoGaussianFunsor,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     ],
 )
@@ -1508,6 +1523,7 @@ def test_exact_tree(Guide):
         AutoNormal,
         AutoDiagonalNormal,
         AutoNormalMessenger,
+        AutoHierarchicalNormalMessenger,
         AutoRegressiveMessenger,
     )