Autobatching for Bayesian inference

This notebook demonstrates a simple Bayesian inference example where autobatching makes user code easier to write, easier to read, and less likely to include bugs.

Inspired by a notebook by @davmre.

python

import matplotlib.pyplot as plt

import jax

import jax.numpy as jnp
import jax.scipy as jsp
from jax import random

import numpy as np
import scipy as sp

Generate a fake binary classification dataset

python

np.random.seed(10009)

num_features = 10
num_points = 100

true_beta = np.random.randn(num_features).astype(jnp.float32)
all_x = np.random.randn(num_points, num_features).astype(jnp.float32)
y = (np.random.rand(num_points) < sp.special.expit(all_x.dot(true_beta))).astype(jnp.int32)

python

Write the log-joint function for the model

We'll write a non-batched version, a manually batched version, and an autobatched version.

Non-batched

python

def log_joint(beta):
    result = 0.
    # Note that no `axis` parameter is provided to `jnp.sum`.
    result = result + jnp.sum(jsp.stats.norm.logpdf(beta, loc=0., scale=1.))
    result = result + jnp.sum(-jnp.log(1 + jnp.exp(-(2*y-1) * jnp.dot(all_x, beta))))
    return result

python

log_joint(np.random.randn(num_features))

python

# This doesn't work, because we didn't write `log_prob()` to handle batching.
try:
  batch_size = 10
  batched_test_beta = np.random.randn(batch_size, num_features)

  log_joint(np.random.randn(batch_size, num_features))
except ValueError as e:
  print("Caught expected exception " + str(e))

Manually batched

python

def batched_log_joint(beta):
    result = 0.
    # Here (and below) `sum` needs an `axis` parameter. At best, forgetting to set axis
    # or setting it incorrectly yields an error; at worst, it silently changes the
    # semantics of the model.
    result = result + jnp.sum(jsp.stats.norm.logpdf(beta, loc=0., scale=1.),
                           axis=-1)
    # Note the multiple transposes. Getting this right is not rocket science,
    # but it's also not totally mindless. (I didn't get it right on the first
    # try.)
    result = result + jnp.sum(-jnp.log(1 + jnp.exp(-(2*y-1) * jnp.dot(all_x, beta.T).T)),
                           axis=-1)
    return result

python

batch_size = 10
batched_test_beta = np.random.randn(batch_size, num_features)

batched_log_joint(batched_test_beta)

Autobatched with vmap

It just works.

python

vmap_batched_log_joint = jax.vmap(log_joint)
vmap_batched_log_joint(batched_test_beta)

Self-contained variational inference example

A little code is copied from above.

Set up the (batched) log-joint function

python

@jax.jit
def log_joint(beta):
    result = 0.
    # Note that no `axis` parameter is provided to `jnp.sum`.
    result = result + jnp.sum(jsp.stats.norm.logpdf(beta, loc=0., scale=10.))
    result = result + jnp.sum(-jnp.log(1 + jnp.exp(-(2*y-1) * jnp.dot(all_x, beta))))
    return result

batched_log_joint = jax.jit(jax.vmap(log_joint))

Define the ELBO and its gradient

python

def elbo(beta_loc, beta_log_scale, epsilon):
    beta_sample = beta_loc + jnp.exp(beta_log_scale) * epsilon
    return jnp.mean(batched_log_joint(beta_sample), 0) + jnp.sum(beta_log_scale - 0.5 * np.log(2*np.pi))

elbo = jax.jit(elbo)
elbo_val_and_grad = jax.jit(jax.value_and_grad(elbo, argnums=(0, 1)))

Optimize the ELBO using SGD

python

def normal_sample(key, shape):
    """Convenience function for quasi-stateful RNG."""
    new_key, sub_key = random.split(key)
    return new_key, random.normal(sub_key, shape)

normal_sample = jax.jit(normal_sample, static_argnums=(1,))

key = random.key(10003)

beta_loc = jnp.zeros(num_features, jnp.float32)
beta_log_scale = jnp.zeros(num_features, jnp.float32)

step_size = 0.01
batch_size = 128
epsilon_shape = (batch_size, num_features)
for i in range(1000):
    key, epsilon = normal_sample(key, epsilon_shape)
    elbo_val, (beta_loc_grad, beta_log_scale_grad) = elbo_val_and_grad(
        beta_loc, beta_log_scale, epsilon)
    beta_loc += step_size * beta_loc_grad
    beta_log_scale += step_size * beta_log_scale_grad
    if i % 10 == 0:
        print('{}\t{}'.format(i, elbo_val))

Display the results

Coverage isn't quite as good as we might like, but it's not bad, and nobody said variational inference was exact.

python

plt.figure(figsize=(7, 7))
plt.plot(true_beta, beta_loc, '.', label='Approximated Posterior Means')
plt.plot(true_beta, beta_loc + 2*jnp.exp(beta_log_scale), 'r.', label=r'Approximated Posterior $2\sigma$ Error Bars')
plt.plot(true_beta, beta_loc - 2*jnp.exp(beta_log_scale), 'r.')
plot_scale = 3
plt.plot([-plot_scale, plot_scale], [-plot_scale, plot_scale], 'k')
plt.xlabel('True beta')
plt.ylabel('Estimated beta')
plt.legend(loc='best')