save CSV

Project.toml

@@ -1,7 +1,7 @@
 name = "TuringCallbacks"
 uuid = "ea0860ee-d0ef-45ef-82e6-cc37d6be2f9c"
 authors = ["Tor Erlend Fjelde <tor.erlend95@gmail.com> and contributors"]
-version = "0.3.1"
+version = "0.4.0"
 
 [deps]
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
@@ -26,8 +26,8 @@ DocStringExtensions = "0.8, 0.9"
 OnlineStats = "1.5"
 Reexport = "0.2, 1.0"
 Requires = "1"
-TensorBoardLogger = "0.1"
-Turing = "0.14, 0.15, 0.16, 0.17, 0.18, 0.19, 0.20, 0.21, 0.22"
+TensorBoardLogger = "0.1.22"
+Turing = "0.29"
 julia = "1"
 
 [extras]

ext/TuringCallbacksTuringExt.jl

@@ -1,26 +1,69 @@
 module TuringCallbacksTuringExt
 
 if isdefined(Base, :get_extension)
-    using Turing: Turing
+    using Turing: Turing, DynamicPPL
     using TuringCallbacks: TuringCallbacks
 else
     # Requires compatible.
-    using ..Turing: Turing
+    using ..Turing: Turing, DynamicPPL
     using ..TuringCallbacks: TuringCallbacks
 end
 
-const TuringTransition = Union{Turing.Inference.Transition,Turing.Inference.HMCTransition}
+const TuringTransition = Union{
+    Turing.Inference.Transition,
+    Turing.Inference.SMCTransition,
+    Turing.Inference.PGTransition
+}
 
-function TuringCallbacks.params_and_values(transition::TuringTransition; kwargs...)
-    return Iterators.map(zip(Turing.Inference._params_to_array([transition])...)) do (ksym, val)
-        return string(ksym), val
-    end
+function TuringCallbacks.params_and_values(
+    model::DynamicPPL.Model,
+    transition::TuringTransition;
+    kwargs...
+)
+    vns, vals = Turing.Inference._params_to_array(model, [transition])
+    return zip(Iterators.map(string, vns), vals)
 end
 
-function TuringCallbacks.extras(transition::TuringTransition; kwargs...)
-    return Iterators.map(zip(Turing.Inference.get_transition_extras([transition])...)) do (ksym, val)
-        return string(ksym), val
-    end
+function TuringCallbacks.extras(
+    model::DynamicPPL.Model, transition::TuringTransition;
+    kwargs...
+)
+    names, vals = Turing.Inference.get_transition_extras([transition])
+    return zip(string.(names), vec(vals))
+end
+
+default_hyperparams(sampler::DynamicPPL.Sampler) = default_hyperparams(sampler.alg)
+default_hyperparams(alg::Turing.Inference.InferenceAlgorithm) = (
+    string(f) => getfield(alg, f) for f in fieldnames(typeof(alg))
+)
+
+const AlgsWithDefaultHyperparams = Union{
+    Turing.Inference.HMC,
+    Turing.Inference.HMCDA,
+    Turing.Inference.NUTS,
+    Turing.Inference.SGHMC,
+
+}
+
+function TuringCallbacks.hyperparams(
+    model::DynamicPPL.Model,
+    sampler::DynamicPPL.Sampler{<:AlgsWithDefaultHyperparams};
+    kwargs...
+)
+    return default_hyperparams(sampler)
+end
+
+function TuringCallbacks.hyperparam_metrics(
+    model,
+    sampler::Turing.Sampler{<:Turing.Inference.NUTS}
+)
+    return [
+        "extras/acceptance_rate/stat/Mean",
+        "extras/max_hamiltonian_energy_error/stat/Mean",
+        "extras/lp/stat/Mean",
+        "extras/n_steps/stat/Mean",
+        "extras/tree_depth/stat/Mean"
+    ]
 end
 
 end

src/TuringCallbacks.jl

@@ -19,6 +19,7 @@ end
 
 export DefaultDict, WindowStat, Thin, Skip, TensorBoardCallback, MultiCallback
 
+include("utils.jl")
 include("stats.jl")
 include("tensorboardlogger.jl")
 include("callbacks/tensorboard.jl")

src/callbacks/save.jl

@@ -0,0 +1,37 @@
+###############################
+### Saves samples on the go ###
+###############################
+
+"""
+    SaveCSV
+
+A callback saves samples to .csv file during sampling
+"""
+function SaveCSV(
+    rng::AbstractRNG,
+    model::Model,
+    sampler::Sampler,
+    transition,
+    state,
+    iteration::Int64;
+    kwargs...,
+)
+    SaveCSV(rng, model, sampler, transition, state.vi, iteration; kwargs...)
+end
+
+function SaveCSV(
+    rng::AbstractRNG,
+    model::Model,
+    sampler::Sampler,
+    transition,
+    vi::AbstractVarInfo,
+    iteration::Int64;
+    kwargs...,
+)
+    vii = deepcopy(vi)
+    invlink!!(vii, model)
+    θ = vii[sampler]
+    # it would be good to have the param names as in the chain
+    chain_name = get(kwargs, :chain_name, "chain")
+    write(string(chain_name, ".csv"), Dict("params" => [θ]); append = true, delim = ";")
+end