tensorflow_probability/python/mcmc/eight_schools_hmc.py
def benchmark_eight_schools_hmc(
    num_results=int(5e3),
    num_burnin_steps=int(3e3),
    num_leapfrog_steps=3,
    step_size=0.4):
  """Runs HMC on the eight-schools unnormalized posterior."""

  num_schools = 8
  treatment_effects = tf.constant(
      [28, 8, -3, 7, -1, 1, 18, 12],
      dtype=np.float32,
      name='treatment_effects')
  treatment_stddevs = tf.constant(
      [15, 10, 16, 11, 9, 11, 10, 18],
      dtype=np.float32,
      name='treatment_stddevs')

  def unnormalized_posterior_log_prob(
      avg_effect, avg_stddev, school_effects_standard):
    """Eight-schools unnormalized log posterior."""
    return eight_schools_joint_log_prob(
        treatment_effects, treatment_stddevs,
        avg_effect, avg_stddev, school_effects_standard)

  if tf.executing_eagerly():
    sample_chain = tf.function(tfp.mcmc.sample_chain)
  else:
    sample_chain = tfp.mcmc.sample_chain

  def computation():
    """The benchmark computation."""
    _, kernel_results = sample_chain(
        num_results=num_results,
        num_burnin_steps=num_burnin_steps,
        current_state=(
            tf.zeros([], name='init_avg_effect'),
            tf.zeros([], name='init_avg_stddev'),
            tf.ones([num_schools], name='init_school_effects_standard'),
        ),
        kernel=tfp.mcmc.HamiltonianMonteCarlo(
            target_log_prob_fn=unnormalized_posterior_log_prob,
            step_size=step_size,
            num_leapfrog_steps=num_leapfrog_steps))

    return kernel_results.is_accepted

  # Let's force evaluation of graph to ensure build time is not part of our time
  # trial.
  is_accepted_tensor = computation()
  if not tf.executing_eagerly():
    session = tf.compat.v1.Session()
    session.run(is_accepted_tensor)

  start_time = time.time()
  if tf.executing_eagerly():
    is_accepted = computation()
  else:
    is_accepted = session.run(is_accepted_tensor)
  wall_time = time.time() - start_time

  num_accepted = np.sum(is_accepted)
  acceptance_rate = np.float32(num_accepted) / np.float32(num_results)

  return dict(
      iters=(num_results + num_burnin_steps) * num_leapfrog_steps,
      extras={'acceptance_rate': acceptance_rate},
      wall_time=wall_time)
def benchmark_eight_schools_hmc(
    num_results=int(5e3),
    num_burnin_steps=int(3e3),
    num_leapfrog_steps=3,
    step_size=0.4):
  """Runs HMC on the eight-schools unnormalized posterior."""

  num_schools = 8
  treatment_effects = tf.constant(
      [28, 8, -3, 7, -1, 1, 18, 12],
      dtype=np.float32,
      name='treatment_effects')
  treatment_stddevs = tf.constant(
      [15, 10, 16, 11, 9, 11, 10, 18],
      dtype=np.float32,
      name='treatment_stddevs')

  def unnormalized_posterior_log_prob(
      avg_effect, avg_stddev, school_effects_standard):
    """Eight-schools unnormalized log posterior."""
    return eight_schools_joint_log_prob(
        treatment_effects, treatment_stddevs,
        avg_effect, avg_stddev, school_effects_standard)

  if tf.executing_eagerly():
    sample_chain = tf.function(tfp.mcmc.sample_chain)
  else:
    sample_chain = tfp.mcmc.sample_chain

  def computation():
    """The benchmark computation."""
    _, kernel_results = sample_chain(
        num_results=num_results,
        num_burnin_steps=num_burnin_steps,
        current_state=(
            tf.zeros([], name='init_avg_effect'),
            tf.zeros([], name='init_avg_stddev'),
            tf.ones([num_schools], name='init_school_effects_standard'),
        ),
        kernel=tfp.mcmc.HamiltonianMonteCarlo(
            target_log_prob_fn=unnormalized_posterior_log_prob,
            step_size=step_size,
            num_leapfrog_steps=num_leapfrog_steps))

    return kernel_results.is_accepted

  # Let's force evaluation of graph to ensure build time is not part of our time
  # trial.
  is_accepted_tensor = computation()
  if not tf.executing_eagerly():
    session = tf.compat.v1.Session()
    session.run(is_accepted_tensor)

  start_time = time.time()
  if tf.executing_eagerly():
    is_accepted = computation()
  else:
    is_accepted = session.run(is_accepted_tensor)
  wall_time = time.time() - start_time

  num_accepted = np.sum(is_accepted)
  acceptance_rate = np.float32(num_accepted) / np.float32(num_results)

  return dict(
      iters=(num_results + num_burnin_steps) * num_leapfrog_steps,
      extras={'acceptance_rate': acceptance_rate},
      wall_time=wall_time)
Runs HMC on the eight-schools unnormalized posterior.