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Fix: make importance resampling robust to importance samples with weight log(0) #68

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Apr 10, 2024
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Fix: make importance resampling robust to importance samples with weight log(0) #68

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6717e47
fix: Make importance resampling work when some samples have weight lo…
Schaechtle Apr 9, 2024
e6b6fa6
test: Test importance sampling with a model and constraints resulting…
Schaechtle Apr 9, 2024
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11 changes: 8 additions & 3 deletions src/gen/inference/importance.cljc
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,10 @@
(+ (math/log nr) x)
(recur rst nr (double x)))))))

(defn- neg-inf?
[v]
(= v ##-Inf))

(defn resampling [gf args observations n-samples]
;; https://github.com/probcomp/Gen.jl/blob/master/src/inference/importance.jl#L77...L95
(let [result (gf/generate gf args observations)
Expand All @@ -31,9 +35,10 @@
(let [candidate (gf/generate gf args observations)
candidate-model-trace (:trace candidate)
log-weight (:weight candidate)]
(vswap! log-total-weight #(logsumexp [log-weight %]))
(when (dist/bernoulli (math/exp (- log-weight @log-total-weight)))
(vreset! model-trace candidate-model-trace))))
(when-not (neg-inf? log-weight)
(vswap! log-total-weight #(logsumexp [log-weight %]))
(when (dist/bernoulli (math/exp (- log-weight @log-total-weight)))
(vreset! model-trace candidate-model-trace)))))
(let [log-ml-estimate (- @log-total-weight (math/log n-samples))]
{:trace @model-trace
:weight log-ml-estimate})))
23 changes: 23 additions & 0 deletions test/gen/inference/importance_test.cljc
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Original file line number Diff line number Diff line change
@@ -0,0 +1,23 @@
(ns gen.inference.importance-test
(:require [clojure.test :refer [deftest is testing]]
[gen.choicemap :as choicemap :refer [choicemap get-value]]
[gen.distribution.kixi :as dist]
[gen.dynamic :as dynamic :refer [gen]]
[gen.inference.importance :as importance]
[gen.trace :as trace]))

(def model-causing-rejection-sampling
(gen
[]
(if (dynamic/trace! :foo dist/bernoulli 0.5)
(dynamic/trace! :bar dist/bernoulli 1.0)
(dynamic/trace! :bar dist/bernoulli 0.0))))

(deftest rejection
(testing "Robustness in the presence of importance samples with weight log(0)."
(is {:foo true :bar true}
;; Needs a couple of samples to trigger previous bug here.
(-> (importance/resampling model-causing-rejection-sampling [] (choicemap {:bar true}) 10)
(:trace)
(trace/get-choices)
(get-value)))))
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