Metropolis-adjusted Langevin Algorithm¶

Table of contents

Algorithm Description
Function Declarations
Control Parameters
Examples
- Gaussian Distribution

Algorithm Description ¶

The Metropolis-adjusted Langevin algorithm (MALA) extends the Random Walk Metropolis-Hasting algorithm by generating proposal draws via Langevin diffusions.

Let \(\theta^{(i)}\) denote a \(d\)-dimensional vector of stored values at stage \(i\) of the algorithm. MALA proceeds in two steps.

(Proposal Step) Let

\[\mu(\theta^{(i)}) := \theta^{(i)} + \frac{\epsilon^2}{2} \times \mathbf{M} \left[ \nabla_\theta \ln K(\theta^{(i)} | X) \right]\]

where \(K\) denotes the posterior kernel function; \(\nabla_\theta\) denotes the gradient operator; \(\mathbf{M}\) is a pre-conditioning matrix, set via mala_settings.precond_mat; and \(\epsilon\) is a scaling value, set via mala_settings.step_size.

Generate a proposal draw, \(\theta^{(*)}\). using:

\[\theta^{(*)} = \mu(\theta^{(i)}) + c \times \mathbf{M}^{1/2} W\]

where \(W \sim N(0,I_d)\).

(Accept/Reject Step) Denote the proposal density by \(q(\theta^{(*)} | \theta^{(i)}) := \phi(\theta^{(*)}; \mu(\theta^{(i)}), \epsilon^2 \mathbf{M})\) and let

\[\alpha = \min \left\{ 1, [ K(\theta^{(*)} | X) q(\theta^{(i)} | \theta^{(*)})] / [ K(\theta^{(i)} | X) q(\theta^{(*)} | \theta^{(i)})] \right\}\]

Then

\[\theta^{(i+1)} = \begin{cases} \theta^{(*)} & \text{ with probability } \alpha \\ \theta^{(i)} & \text{ else } \end{cases}\]

The algorithm stops when the number of draws reaches n_burnin_draws + n_keep_draws, and returns the final n_keep_draws number of draws.

Function Declarations ¶

bool mala(const ColVec_t &initial_vals, std::function<fp_t(const ColVec_t &vals_inp, ColVec_t *grad_out, void *target_data)> target_log_kernel, Mat_t &draws_out, void *target_data)¶

The Metropolis-adjusted Langevin Algorithm (MALA)

Parameters

initial_vals – a column vector of initial values.
target_log_kernel – the log posterior kernel function of the target distribution, taking three arguments:
- vals_inp a vector of inputs; and
- grad_out a vector to store the gradient; and
- target_data additional data passed to the user-provided function.
draws_out – a matrix of posterior draws, where each row represents one draw.
target_data – additional data passed to the user-provided function.

Returns

a boolean value indicating successful completion of the algorithm.

bool mala(const ColVec_t &initial_vals, std::function<fp_t(const ColVec_t &vals_inp, ColVec_t *grad_out, void *target_data)> target_log_kernel, Mat_t &draws_out, void *target_data, algo_settings_t &settings)¶

The Metropolis-adjusted Langevin Algorithm (MALA)

Parameters

initial_vals – a column vector of initial values.
target_log_kernel – the log posterior kernel function of the target distribution, taking three arguments:
- vals_inp a vector of inputs; and
- grad_out a vector to store the gradient; and
- target_data additional data passed to the user-provided function.
draws_out – a matrix of posterior draws, where each row represents one draw.
target_data – additional data passed to the user-provided function.
settings – parameters controlling the MCMC routine.

Returns

a boolean value indicating successful completion of the algorithm.

Control Parameters ¶

The basic control parameters are:

size_t mala_settings.n_burnin_draws: number of burn-in draws.
size_t mala_settings.n_keep_draws: number of draws to keep (post sample burn-in period).
bool vals_bound: whether the search space of the algorithm is bounded. If true, then
- ColVec_t lower_bounds: defines the lower bounds of the search space.
- ColVec_t upper_bounds: defines the upper bounds of the search space.

Additional settings:

int mala_settings.omp_n_threads: the number of OpenMP threads to use.
- Default value: -1 (use all available threads divided by 2).
fp_t mala_settings.step_size: scaling parameter for the proposal step.
- Default value: 1.0.
Mat_t mala_settings.precond_mat: preconditioning matrix for the proposal step.
- Default value: diagonal matrix.

Examples ¶

Gaussian Distribution ¶

Code to run this example is given below.

Armadillo (Click to show/hide)

#define MCMC_ENABLE_ARMA_WRAPPERS
#include "mcmc.hpp"

struct norm_data_t {
    arma::vec x;
};

double ll_dens(const arma::vec& vals_inp, arma::vec* grad_out, void* ll_data)
{
    const double pi = arma::datum::pi;

    const double mu    = vals_inp(0);
    const double sigma = vals_inp(1);

    norm_data_t* dta = reinterpret_cast<norm_data_t*>(ll_data);
    const arma::vec x = dta->x;
    const int n_vals = x.n_rows;

    //

    const double ret = - n_vals * (0.5 * std::log(2*pi) + std::log(sigma)) - arma::accu( arma::pow(x - mu,2) / (2*sigma*sigma) );

    //

    if (grad_out) {
        grad_out->set_size(2,1);

        //

        const double m_1 = arma::accu(x - mu);
        const double m_2 = arma::accu( arma::pow(x - mu,2) );

        (*grad_out)(0,0) = m_1 / (sigma*sigma);
        (*grad_out)(1,0) = (m_2 / (sigma*sigma*sigma)) - ((double) n_vals) / sigma;
    }

    //

    return ret;
}

double log_target_dens(const arma::vec& vals_inp, arma::vec* grad_out, void* ll_data)
{
    return ll_dens(vals_inp,grad_out,ll_data);
}

int main()
{
    const int n_data = 1000;

    const double mu = 2.0;
    const double sigma = 2.0;

    norm_data_t dta;

    arma::vec x_dta = mu + sigma * arma::randn(n_data,1);
    dta.x = x_dta;

    arma::vec initial_val(2);
    initial_val(0) = mu + 1; // mu
    initial_val(1) = sigma + 1; // sigma

    //

    mcmc::algo_settings_t settings;

    settings.mala_settings.step_size = 0.08;
    settings.mala_settings.n_burnin_draws = 2000;
    settings.mala_settings.n_keep_draws = 2000;

    //

    arma::mat draws_out;
    mcmc::mala(initial_val, log_target_dens, draws_out, &dta, settings);

    //

    std::cout << "mala mean:\n" << arma::mean(draws_out) << std::endl;
    std::cout << "acceptance rate: " << static_cast<double>(settings.mala_settings.n_accept_draws) / settings.mala_settings.n_keep_draws << std::endl;

    //

    return 0;
}

Eigen (Click to show/hide)

#define MCMC_ENABLE_EIGEN_WRAPPERS
#include "mcmc.hpp"

inline
Eigen::VectorXd
eigen_randn_colvec(size_t nr)
{
    static std::mt19937 gen{ std::random_device{}() };
    static std::normal_distribution<> dist;

    return Eigen::VectorXd{ nr }.unaryExpr([&](double x) { (void)(x); return dist(gen); });
}

struct norm_data_t {
    Eigen::VectorXd x;
};

double ll_dens(const Eigen::VectorXd& vals_inp, Eigen::VectorXd* grad_out, void* ll_data)
{
    const double pi = 3.14159265358979;

    const double mu    = vals_inp(0);
    const double sigma = vals_inp(1);

    norm_data_t* dta = reinterpret_cast<norm_data_t*>(ll_data);
    const Eigen::VectorXd x = dta->x;
    const int n_vals = x.size();

    //

    const double ret = - n_vals * (0.5 * std::log(2*pi) + std::log(sigma)) - (x.array() - mu).pow(2).sum() / (2*sigma*sigma);

    //

    if (grad_out) {
        grad_out->resize(2,1);

        //

        const double m_1 = (x.array() - mu).sum();
        const double m_2 = (x.array() - mu).pow(2).sum();

        (*grad_out)(0,0) = m_1 / (sigma*sigma);
        (*grad_out)(1,0) = (m_2 / (sigma*sigma*sigma)) - ((double) n_vals) / sigma;
    }

    //

    return ret;
}

double log_target_dens(const Eigen::VectorXd& vals_inp, Eigen::VectorXd* grad_out, void* ll_data)
{
    return ll_dens(vals_inp,grad_out,ll_data);
}

int main()
{
    const int n_data = 1000;

    const double mu = 2.0;
    const double sigma = 2.0;

    norm_data_t dta;

    Eigen::VectorXd x_dta = mu + sigma * eigen_randn_colvec(n_data).array();
    dta.x = x_dta;

    Eigen::VectorXd initial_val(2);
    initial_val(0) = mu + 1; // mu
    initial_val(1) = sigma + 1; // sigma

    mcmc::algo_settings_t settings;

    settings.mala_settings.step_size = 0.08;
    settings.mala_settings.n_burnin_draws = 2000;
    settings.mala_settings.n_keep_draws = 2000;

    //

    Eigen::MatrixXd draws_out;
    mcmc::mala(initial_val, log_target_dens, draws_out, &dta, settings);

    //

    std::cout << "mala mean:\n" << draws_out.colwise().mean() << std::endl;
    std::cout << "acceptance rate: " << static_cast<double>(settings.mala_settings.n_accept_draws) / settings.mala_settings.n_keep_draws << std::endl;

    //

    return 0;
}

Metropolis-adjusted Langevin Algorithm¶

Algorithm Description¶

Function Declarations¶

Control Parameters¶

Examples¶

Gaussian Distribution¶

Algorithm Description ¶

Function Declarations ¶

Control Parameters ¶

Examples ¶

Gaussian Distribution ¶