Pathfinder

This repository contains the code files of the analyses in "Pathfinder: Parallel quasi-Newton variational inference"

Roadmap

Folder Name	Intro
posteriordb	Subfolder posterior_database contains the database of package posteriordb
posteriordb_check	Codes for experiments for examples from posteriordb
example	Codes and data for the Birthday example and other examples
utils	Utility functions

Instructions

(note: since the function pdb_local() requires folder posteriordb to be in a git repository, please use git clone to download the repository or configure a remote in the unzipped repository)

HMC vs L-BFGS exam in Introduction (old test, no longer present in the paper, but the result of check_LBFGS.R is reused in the experiments in Section 3):

1. Optimization: posteriordb_check/phaseI_check/check_LBFGS.R
2. Stan phase I: posteriordb_check/phaseI_check/main.R
3. Plots: posteriordb_check/pic.R

Experiements in Section 3:

100 repeats for experiments in Section 3

1. Stan phase I: posteriordb_check/phaseI_check/main_100_PhI.R
2. Pathfinder: posteriordb_check/phaseI_adapt_check/main_pf.R
3. ADVI: posteriordb_check/phaseI_ADVI/main_ADVI_100.R
4. Laplace (in Appendix D): posteriordb_check/Laplace_check/main_laplace.R

Wasserstein distance computation and Plots for all experiements

5. Wasserstein distance: posteriordb_check/wasserstain_check.R
6. Plots: posteriordb_check/pic.R

Examples in Section 3.4

7. 100-dimensional Neal's Funnel: example/funnel100/funnel100.R
8. Ovarian example: example/ovarian/ovarian_test.R
9. Mcycle_gp_accel_gp: example/mcycle_gp/mcycle_gp.R

Birthday example in Section 3.5

10. example/Birthdays/model6_test.R

Authors

Name	Email
Lu Zhang	[email protected]	Ph.D. University of Southern California, PPHS, Biostatistics
Bob Carpenter	[email protected]	Ph.D. Flatiron Institute

Licensing

• Code © 2021, Lu Zhang, licensed under BSD (3-clause).

Notes

• You are welcome to contact me for bug reporting.