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Add multiplier for adaptation window sizes #3705

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Merged
merged 8 commits into from
Dec 4, 2019
Merged

Add multiplier for adaptation window sizes #3705

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04b6c86
Add adaptation window multiplier to full mass matrix
eigenfoo Dec 4, 2019
25d4bc7
Add adaptation window multiplier to diag adapt
eigenfoo Dec 4, 2019
0f5edc3
Set default value of adaptatation window multiplier to be an int
eigenfoo Dec 4, 2019
4d34222
Clean up extraneous variable
eigenfoo Dec 4, 2019
5d28bbd
Fix tests with multiplier
eigenfoo Dec 4, 2019
944b253
Update docstring and remove extraneous parameter
eigenfoo Dec 4, 2019
dc17cc9
Fix tests
eigenfoo Dec 4, 2019
b1aecf8
Make multiplier float and cast to int after multiplying
eigenfoo Dec 4, 2019
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Update docstring and remove extraneous parameter
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@eigenfoo
eigenfoo committed Dec 4, 2019
commit 944b253cfd0862088168eb9c39413a77adcf0bfb
12 changes: 2 additions & 10 deletions pymc3/step_methods/hmc/quadpotential.py
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Original file line number Diff line number Diff line change
Expand Up @@ -466,23 +466,16 @@ def velocity_energy(self, x, v_out):


class QuadPotentialFullAdapt(QuadPotentialFull):
"""Adapt a dense mass matrix using the sample covariances

If the parameter ``doubling`` is true, the adaptation window is doubled
every time it is passed. This can lead to better convergence of the mass
matrix estimation.

"""
"""Adapt a dense mass matrix using the sample covariances."""
def __init__(
self,
n,
initial_mean,
initial_cov=None,
initial_weight=0,
adaptation_window=101,
adaptation_window_multiplier=1,
adaptation_window_multiplier=2,
update_window=1,
doubling=True,
dtype=None,
):
warnings.warn("QuadPotentialFullAdapt is an experimental feature")
Expand Down Expand Up @@ -520,7 +513,6 @@ def __init__(
self._background_cov = _WeightedCovariance(self._n, dtype=self.dtype)
self._n_samples = 0

self._doubling = doubling
self._adaptation_window = int(adaptation_window)
self._adaptation_window_multiplier = int(adaptation_window_multiplier)
self._update_window = int(update_window)
Expand Down