TuringLang/Turing.jl: v0.48.0

Turing v0.48.0

Diff since v0.47.4

Breaking changes

The SGLD and SGHMC samplers, which did not support minibatching, have been removed along with PolynomialStepsize (#2890).

MH(var => proposal, ...) and LinkedRW have been removed. Use MH() for prior proposals, or MH(cov_matrix) for a Gaussian random walk over the complete linked parameter vector. In Gibbs, assign MH(cov_matrix) to the target variable block (#2883).

Gibbs now conditions its components with DynamicPPL.condition. GibbsContext and Turing.Inference.make_conditional are removed. Rename isgibbscomponent to supports_gibbs and gibbs_get_raw_values to gibbs_get_parameter_values; the old names are deprecated. Gibbs no longer supports model arguments containing missing: declare the latent variable inside the model and condition on observations instead (#2863).

Every variable reached by a Gibbs model must belong to a component. A component may not change the dimension or existence of a variable owned only by another component; put the variable and whatever decides its shape in one block. Changes to another block's support or distributional form remain unchecked and can make the chain reducible; see the Gibbs docstring (#2863).

Other changes

ESS Gibbs components now use the current conditional prior after another component changes its parameters (#2885).

Gibbs chains now include component-sampler statistics (#2863).

NUTS and HMCDA now accept a NamedTuple or Dict{VarName} initial_params, which HMC already did (#2878).

Emcee now honours chain_type=MCMCChains.Chains, and refuses walkers that start in different parameter layouts instead of failing inside the decode or the stretch proposal (#2879).

estimate_mode now represents indexed bounds using the model's parameter shapes, avoiding growable-array warnings during optimisation (#2888).

estimate_mode now throws on a bound that does not cover a whole variable, where it previously either dropped it and returned the unconstrained mode or failed with a bare DimensionMismatch, and warns on a bound no variable can use rather than ignoring it in silence (#2880).

Prior() now warns that initial_params has no effect instead of discarding it silently (#2881).

Gibbs now rejects an external sampler whose state inherits AbstractMCMC's model-dropping three-argument setparams!! fallback, rather than running with stale model-dependent caches (#2891).

GibbsConditional now distinguishes a ranged tilde statement from multiple element-wise statements when given one conditional distribution (#2891).

Merged pull requests:

• Gibbs: condition components instead of GibbsContext (#2863) (@yebai)
• hmc: Convert initial_params for NUTS/HMCDA and delete a dead adaptor branch (#2878) (@yebai)
• emcee: Honour chain_type and refuse walkers in different parameter layouts (#2879) (@yebai)
• optimisation: Stop silently discarding lb/ub bounds (#2880) (@yebai)
• prior: Warn that initial_params has no effect (#2881) (@yebai)
• mh: remove per-variable proposals (#2883) (@yebai)
• ESS retains stale prior means after Gibbs conditioning (#2885) (@yebai)
• Reject model-dropping setparams!! in external Gibbs components (#2886) (@yebai)
• optimisation: eliminate growable constraint warnings (#2888) (@yebai)
• docs: clarify README (#2889) (@yebai)
• Remove SGLD and SGHMC (#2890) (@yebai)
• Fix Gibbs handling of wrapped external samplers and conditional sites (#2891) (@yebai)

Closed issues:

• remove SGHMC / SGLD (#2270)
• RepeatSampler should be in AbstractMCMC (#2671)
• Gibbs does not use initialisation strategies for component samplers (#2693)
• Stats from component samplers are lost with Gibbs (#2766)
• Gibbs third branch (#2810)
• Use Optim.jl for optimisation (#2814)
• Rework Gibbs: replace GibbsContext with condition, complete the component interface (#2860)
• Require samplers to opt in to varying-dimensional targets (#2866)
• ESS in Gibbs retains stale conditional-prior means (#2873)
• Reject model-dropping setparams!! before running external Gibbs samplers (#2875)
• Misspecified MH proposals can bias sampling (#2876)