file twalk/twalk.cpp
[No description available] More…
Namespaces
| Name |
|---|
| Gambit TODO: see if we can use this one: |
| Gambit::Scanner |
Classes
| Name | |
|---|---|
| struct | Gambit::Scanner::point_info |
Functions
| Name | |
|---|---|
| scanner_plugin(twalk , version(1, 0, 1) ) |
Detailed Description
Author:
- Gregory Martinez (gregory.david.martinez@gmail.com)
- Pat Scott (p.scott@imperial.ac.uk)
Date:
- 2014 May
- 2018 June
Base functions objects for use in GAMBIT.
Authors (add name and date if you modify):
Functions Documentation
function scanner_plugin
scanner_plugin(
twalk ,
version(1, 0, 1)
)
Source code
// GAMBIT: Global and Modular BSM Inference Tool
// *********************************************
/// \file
///
/// Base functions objects for use in GAMBIT.
///
/// *********************************************
///
/// Authors (add name and date if you modify):
///
/// \author Gregory Martinez
/// (gregory.david.martinez@gmail.com)
/// \date 2014 May
///
/// \author Pat Scott
/// (p.scott@imperial.ac.uk)
/// \date 2018 June
///
/// *********************************************
#ifdef WITH_MPI
#include "gambit/Utils/begin_ignore_warnings_mpi.hpp"
#include "mpi.h"
#include "gambit/Utils/end_ignore_warnings.hpp"
#endif
#include "plugin_interface.hpp"
#include "scanner_plugin.hpp"
#include "twalk.hpp"
scanner_plugin(twalk, version(1, 0, 1))
{
int plugin_main ()
{
like_ptr LogLike = get_purpose(get_inifile_value<std::string>("like", "LogLike"));
// Do not allow GAMBIT's own likelihood calculator to directly shut down the scan.
// Twalk will assume responsibility for this process, triggered externally by
// the 'plugin_info.early_shutdown_in_progress()' function.
LogLike->disable_external_shutdown();
int dim = get_dimension();
int numtasks;
#ifdef WITH_MPI
MPI_Comm_size(MPI_COMM_WORLD, &numtasks);
#else
numtasks = 1;
#endif
Gambit::Options txt_options;
txt_options.setValue("synchronised",false);
get_printer().new_stream("txt", txt_options);
set_resume_params.set_resume_mode(get_printer().resume_mode());
int pdim = get_inifile_value<int>("projection_dimension", 4);
TWalk(LogLike, get_printer(),
set_resume_params,
dim,
get_inifile_value<double>("kwalk_ratio", 0.9836),
pdim,
get_inifile_value<double>("gaussian_distance", 2.4),
get_inifile_value<double>("walk_distance", 2.5),
get_inifile_value<double>("traverse_distance", 6.0),
get_inifile_value<long long>("ran_seed", 0),
get_inifile_value<double>("sqrtR", 1.001),
get_inifile_value<int>("chain_number", 1 + pdim + numtasks),
get_inifile_value<bool>("hyper_grid", true),
get_inifile_value<int>("burn_in", 0),
get_inifile_value<int>("save_freq", 1000),
get_inifile_value<double>("timeout_mins", -1)
);
return 0;
}
}
namespace Gambit
{
namespace Scanner
{
struct point_info
{
int mult;
int chain;
int rank;
unsigned long long int id;
};
void TWalk(Gambit::Scanner::like_ptr LogLike,
Gambit::Scanner::printer_interface &printer,
Gambit::Scanner::resume_params_func set_resume_params,
const int &dimension,
const double &div,
const int &proj,
const double &din,
const double &alim,
const double &alimt,
const long long &rand,
const double &sqrtR,
const int &NChains,
const bool &hyper_grid,
const int &burn_in,
const int &save_freq,
const double &mins_max)
{
const double massiveR = 1e100;
std::vector<double> chisq(NChains);
std::vector<double> aNext(dimension);
std::vector<std::vector<double>> a0(NChains, std::vector<double>(dimension));
double ans, chisqnext;
std::vector<int> mult(NChains, 1);
std::vector<int> totN(NChains, 0);
std::vector<int> count(NChains, 1);
int t, tt;
int total = 1, ttotal = 0;
std::vector<std::vector<double>> covT(NChains, std::vector<double>(dimension, 0.0));
std::vector<std::vector<double>> avgT(NChains, std::vector<double>(dimension, 0.0));
std::vector<double> W(dimension, 0.0);
std::vector<double> avgTot(dimension, 0.0);
bool converged = false;
std::vector<unsigned long long int> ids(NChains);
std::vector<int> ranks(NChains);
unsigned long long int next_id;
double Rsum = massiveR, Rmax = massiveR;
bool resumed = false;
unsigned int quit = 0; // signal for early shutdown
std::chrono::time_point<std::chrono::system_clock> startTWalk;
set_resume_params(chisq, a0, mult, totN, count, total, ttotal, covT, avgT, W, avgTot, ids, ranks, resumed);
Gambit::Scanner::assign_aux_numbers("Posterior", "chain");
int rank = set_resume_params.Rank();
int numtasks = set_resume_params.NumTasks();
#ifdef WITH_MPI
std::vector<int> tints(NChains);
for (int i = 0; i < NChains; i++) tints[i] = i;
std::vector<int> talls(2*numtasks);
set_resume_params(tints, talls);
#endif
std::ofstream temp_file_out;
if (mins_max > 0 and rank == 0)
{
// Begin timing of TWalk run
startTWalk = std::chrono::system_clock::now();
}
std::vector<RanNumGen *> gDev;
for (int i = 0; i < NChains; i++)
{
gDev.push_back(new RanNumGen(proj, dimension, din, alim, alimt, div, rand));
}
// Try opening the temporary file for saving the mutliplicities etc.
str filename = set_resume_params.get_temp_file_name("temp");
temp_file_out.open(filename, std::ofstream::binary | std::ofstream::app);
if (not temp_file_out.is_open()) scan_error().raise(LOCAL_INFO, "Problem opening temp file " + filename + " in TWalk!");
if (resumed)
{
#ifdef WITH_MPI
for (int i = 0; i < numtasks; i++)
{
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (c_ptr(a0[talls[i]]), a0[talls[i]].size(), MPI_DOUBLE, i, MPI_COMM_WORLD);
MPI_Bcast (&chisq[talls[i]], 1, MPI_DOUBLE, i, MPI_COMM_WORLD);
MPI_Bcast (&mult[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&count[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&ranks[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&ids[talls[i]], 1, MPI_UNSIGNED_LONG_LONG, i, MPI_COMM_WORLD);
}
#endif
}
else
{
resumed = true;
for (t = 0; t < NChains; t++)
{
if (rank == 0)
{
for (int j = 0; j < dimension; j++)
a0[t][j] = (gDev[t]->Doub());
chisq[t] = -LogLike(a0[t]);
quit = Gambit::Scanner::Plugins::plugin_info.early_shutdown_in_progress();
ids[t] = LogLike->getPtID();
ranks[t] = rank;
}
#ifdef WITH_MPI
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (c_ptr(a0[t]), a0[t].size(), MPI_DOUBLE, 0, MPI_COMM_WORLD);
MPI_Bcast (&quit, 1, MPI_UNSIGNED, 0, MPI_COMM_WORLD);
#endif
if(quit)
{
std::cout
#ifdef WITH_MPI
<<"Rank "<<rank<<": "
#endif
<<"Quit signal received during TWalk chain initialisation, aborting run" << std::endl;
break;
}
}
}
#ifdef WITH_MPI
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (c_ptr(chisq), chisq.size(), MPI_DOUBLE, 0, MPI_COMM_WORLD);
MPI_Bcast (c_ptr(ids), ids.size(), MPI_UNSIGNED_LONG_LONG, 0, MPI_COMM_WORLD);
MPI_Bcast (c_ptr(ranks), ranks.size(), MPI_INT, 0, MPI_COMM_WORLD);
#endif
std::cout << "Metropolis Hastings/TWalk Algorithm Started" << std::endl;
while (not converged and not quit)
{
#ifdef WITH_MPI
if (rank == 0)
{
int j = NChains;
for(int i = 0; i < numtasks; i++)
{
int temp = int((j--)*gDev[0]->Doub());
talls[i] = tints[temp];
tints[temp] = tints[j];
tints[j] = talls[i];
}
for(int i = numtasks, end = talls.size(); i < end; i++)
{
talls[i] = tints[int(j*gDev[0]->Doub())];
}
}
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (c_ptr(talls), talls.size(), MPI_INT, 0, MPI_COMM_WORLD);
MPI_Bcast (c_ptr(tints), tints.size(), MPI_INT, 0, MPI_COMM_WORLD);
t = talls[rank];
tt = talls[rank + numtasks];
double logZ = gDev[t]->Dev(aNext, a0, t, tt, NChains - numtasks, tints);
#else
t = int(NChains*gDev[0]->Doub());
tt = int((NChains - 1)*gDev[0]->Doub());
if (tt >= t) tt++;
double logZ = gDev[t]->Dev(aNext, a0, t, tt);
#endif
if(!(hyper_grid && notUnit(aNext)))
{
chisqnext = -LogLike(aNext);
ans = chisqnext - chisq[t] - logZ;
next_id = LogLike->getPtID();
if ((ans <= 0.0)||(gDev[0]->ExpDev() >= ans))
{
//out_stream->print(mult[t], "Posterior", ranks[t], ids[t]);
//out_stream->print(t, "chain", ranks[t], ids[t]);
point_info info = {mult[t], t, ranks[t], ids[t]};
temp_file_out.write((char *)&info, sizeof(point_info));
ids[t] = next_id;
a0[t] = aNext;
chisq[t] = chisqnext;
ranks[t] = rank;
mult[t] = 0;
count[t]++;
}
else
{
//out_stream->print(0, "Posterior", rank, next_id);
//out_stream->print(-1, "chain", rank, next_id);
point_info info = {0, -1, rank, next_id};
temp_file_out.write((char *)&info, sizeof(point_info));
}
}
#ifdef WITH_MPI
for (int i = 0; i < numtasks; i++)
{
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (c_ptr(a0[talls[i]]), a0[talls[i]].size(), MPI_DOUBLE, i, MPI_COMM_WORLD);
MPI_Bcast (&chisq[talls[i]], 1, MPI_DOUBLE, i, MPI_COMM_WORLD);
MPI_Bcast (&mult[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&count[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&ranks[talls[i]], 1, MPI_INT, i, MPI_COMM_WORLD);
MPI_Bcast (&ids[talls[i]], 1, MPI_UNSIGNED_LONG_LONG, i, MPI_COMM_WORLD);
}
#endif
for (int l = 0; l < NChains; l++) mult[l]++;
total++;
if (total%save_freq == 0)
{
set_resume_params.dump();
//out_stream->reset();
}
if (rank == 0)
{
int cnt = 0;
for (auto it = count.begin(); it != count.end(); ++it)
{
cnt += *it;
}
if (total%NChains == 0 && cnt >= burn_in*NChains)
{
for (int i = 0; i < NChains; i++) for (int j = 0; j < dimension; j++)
{
if (ttotal == 0)
{
covT[i][j] = avgT[i][j] = avgTot[j] = W[j] = 0.0;
}
else
{
double davg = (a0[i][j]-avgT[i][j])/(ttotal+1.0);
double dcov = ttotal*davg*davg - covT[i][j]/(ttotal+1.0);
avgTot[j] += davg/NChains;
covT[i][j] += dcov;
avgT[i][j] += davg;
W[j] += dcov/NChains;
}
}
ttotal++;
// Loop over each dimension in the parameter space, and compute R for each.
// Trigger convergence only if R is below the requested threshold in every dimension.
Rsum = Rmax = 0.0;
converged = true;
for (int i = 0; i < dimension; i++)
{
double Bn = 0;
for (int ts = 0; ts < NChains; ts++)
{
Bn += (avgT[ts][i] - avgTot[i])*(avgT[ts][i] - avgTot[i]);
}
Bn /= double(NChains - 1);
double R = W[i] > 0.0 ? 1.0 + double(NChains + 1)*Bn / (W[i] * double(NChains)) : massiveR;
Rsum += R;
Rmax = std::max(Rmax, R);
if (R < 1.0) scan_error().raise(LOCAL_INFO, "R < 1 in TWalk!");
if (R >= sqrtR*sqrtR) converged = false;
}
}
// Check if the requested maximum runtime has been reached.
if (mins_max > 0)
{
std::chrono::duration<double> runtime = std::chrono::system_clock::now() - startTWalk;
double runtime_ms = std::chrono::duration_cast<std::chrono::milliseconds>(runtime).count();
if (runtime_ms / 60e3 >= mins_max)
{
std::cout << "TWalk reached requested time limit of " << mins_max << " minutes. Finalising run now." << std::endl;
converged = true;
}
}
// Print out progress to stdout
if (converged or cnt % 100 == 0)
{
std::cout << "Points = " << cnt << " (" << cnt/double(NChains) << " per chain)" << std::endl;
std::cout << "\tAcceptance ratio = " << (double)cnt/(double)total/(double)numtasks << std::endl;
std::cout << "\tsqrt(R) (averaged over all dimensions) = " << sqrt(Rsum/dimension) << std::endl;
std::cout << "\tsqrt(R) (largest in any dimension) = " << sqrt(Rmax) << std::endl;
}
}
quit = Gambit::Scanner::Plugins::plugin_info.early_shutdown_in_progress();
#ifdef WITH_MPI
MPI_Barrier(MPI_COMM_WORLD);
MPI_Bcast (&converged, 1, MPI_C_BOOL, 0, MPI_COMM_WORLD);
MPI_Bcast (&quit, 1, MPI_UNSIGNED, 0, MPI_COMM_WORLD);
#endif
if(quit)
{
std::cout
#ifdef WITH_MPI
<<"Rank "<<rank<<": "
#endif
<<"TWalk received quit signal! Terminating run." << std::endl;
}
}
if(quit)
{
std::cout
#ifdef WITH_MPI
<<"Rank "<<rank<<": "
#endif
<< "Writing resume data for TWalk" << std::endl;
// This is a bit awkward, but if we just call .dump() with no argument then
// ScannerBit will write resume data for ALL active plugins (which seems a
// weird thing for TWalk to trigger) and also try to finalise the printer
// (which will cause a crash when ScannerBit automatically tries to
// finalise the printer later).
// I would just add this dump stuff to scan.cpp, where the printer finalise
// is called, but I think that is AFTER the plugins are destructed, so
// I don't think that can work.
// Doing this will dump JUST the TWalk resume data, though I had to
// add this hacky get_name to the set_resume_params object in order to
// get the name by which ScannerBit identifies the TWalk plugin.
//Gambit::Scanner::Plugins::plugin_info.dump(set_resume_params.get_name());
set_resume_params.dump(); // Better way
// This works I think, but it still has problems. In particular,
// it looks like you must resume with the same number of processes
// that you started the run with, which is kind of crap.
}
for (auto &&gd : gDev) delete gd;
temp_file_out.close();
Gambit::Scanner::printer *out_stream = printer.get_stream("txt");
std::ifstream temp_file_in(set_resume_params.get_temp_file_name("temp").c_str(), std::ifstream::binary);
point_info info;
int i = 0;
while (temp_file_in.read((char *)&info, sizeof(point_info)))
{i++;
//std::cout<<"Twalk rank "<<rank<<" printing mult and chain for "<<i<<"th point of posterior chain (rank="<<info.rank<<", pointID="<<info.id<<")"<<std::endl;
out_stream->print(info.mult, "Posterior", info.rank, info.id);
out_stream->print(info.chain, "chain", info.rank, info.id);
}
out_stream->flush();
std::cout << "TWalk has finished in process " << rank << "." << std::endl;
return;
}
}
}
Updated on 2024-07-18 at 13:53:33 +0000