Proper support for distributions with embedded support (#462)

Attempt at addressing #461.

I think the approach here is somewhat correct, but it's currently very dirty because of the intricacies of `VarInfo` implementation. This can be cleaned up, but will take some effort. Until I've done this, I leave this as a draft PR.

We also most certainly need to do some benchmarking before merging this as it could lead to some additional overhead.

NOTE: This is based on #457 

Co-authored-by: Hong Ge <[email protected]>

Author: torfjelde

docs/src/api.md

@@ -206,7 +206,8 @@ DynamicPPL.link!!
 DynamicPPL.invlink!!
 DynamicPPL.default_transformation
 DynamicPPL.maybe_invlink_before_eval!!
-``` 
+DynamicPPL.reconstruct
+```
 
 #### Utils
 

src/DynamicPPL.jl

@@ -43,7 +43,7 @@ export AbstractVarInfo,
     push!!,
     empty!!,
     getlogp,
-    resetlogp!,
+    resetlogp!!,
     setlogp!!,
     acclogp!!,
     resetlogp!!,

src/abstract_varinfo.jl

@@ -553,6 +553,99 @@ variables `x` would return
 """
 function tonamedtuple end
 
+# TODO: Clean up all this linking stuff once and for all!
+"""
+    with_logabsdet_jacobian_and_reconstruct([f, ]dist, x)
+
+Like `Bijectors.with_logabsdet_jacobian(f, x)`, but also ensures the resulting
+value is reconstructed to the correct type and shape according to `dist`.
+"""
+function with_logabsdet_jacobian_and_reconstruct(f, dist, x)
+    x_recon = reconstruct(f, dist, x)
+    return with_logabsdet_jacobian(f, x_recon)
+end
+
+# TODO: Once we `(inv)link` isn't used heavily in `getindex(vi, vn)`, we can
+# just use `first ∘ with_logabsdet_jacobian` to reduce the maintenance burden.
+# NOTE: `reconstruct` is no-op if `val` is already of correct shape.
+"""
+    reconstruct_and_link(dist, val)
+    reconstruct_and_link(vi::AbstractVarInfo, vi::VarName, dist, val)
+
+Return linked `val` but reconstruct before linking, if necessary.
+
+Note that unlike [`invlink_and_reconstruct`](@ref), this does not necessarily
+return a reconstructed value, i.e. a value of the same type and shape as expected
+by `dist`.
+
+See also: [`invlink_and_reconstruct`](@ref), [`reconstruct`](@ref).
+"""
+reconstruct_and_link(f, dist, val) = f(reconstruct(f, dist, val))
+reconstruct_and_link(dist, val) = reconstruct_and_link(link_transform(dist), dist, val)
+function reconstruct_and_link(::AbstractVarInfo, ::VarName, dist, val)
+    return reconstruct_and_link(dist, val)
+end
+
+"""
+    invlink_and_reconstruct(dist, val)
+    invlink_and_reconstruct(vi::AbstractVarInfo, vn::VarName, dist, val)
+
+Return invlinked and reconstructed `val`.
+
+See also: [`reconstruct_and_link`](@ref), [`reconstruct`](@ref).
+"""
+invlink_and_reconstruct(f, dist, val) = f(reconstruct(f, dist, val))
+function invlink_and_reconstruct(dist, val)
+    return invlink_and_reconstruct(invlink_transform(dist), dist, val)
+end
+function invlink_and_reconstruct(::AbstractVarInfo, ::VarName, dist, val)
+    return invlink_and_reconstruct(dist, val)
+end
+
+"""
+    maybe_link_and_reconstruct(vi::AbstractVarInfo, vn::VarName, dist, val)
+
+Return reconstructed `val`, possibly linked if `istrans(vi, vn)` is `true`.
+"""
+function maybe_reconstruct_and_link(vi::AbstractVarInfo, vn::VarName, dist, val)
+    return if istrans(vi, vn)
+        reconstruct_and_link(vi, vn, dist, val)
+    else
+        reconstruct(dist, val)
+    end
+end
+
+"""
+    maybe_invlink_and_reconstruct(vi::AbstractVarInfo, vn::VarName, dist, val)
+
+Return reconstructed `val`, possibly invlinked if `istrans(vi, vn)` is `true`.
+"""
+function maybe_invlink_and_reconstruct(vi::AbstractVarInfo, vn::VarName, dist, val)
+    return if istrans(vi, vn)
+        invlink_and_reconstruct(vi, vn, dist, val)
+    else
+        reconstruct(dist, val)
+    end
+end
+
+"""
+    invlink_with_logpdf(vi::AbstractVarInfo, vn::VarName, dist[, x])
+
+Invlink `x` and compute the logpdf under `dist` including correction from
+the invlink-transformation.
+
+If `x` is not provided, `getval(vi, vn)` will be used.
+"""
+function invlink_with_logpdf(vi::AbstractVarInfo, vn::VarName, dist)
+    return invlink_with_logpdf(vi, vn, dist, getval(vi, vn))
+end
+function invlink_with_logpdf(vi::AbstractVarInfo, vn::VarName, dist, y)
+    # NOTE: Will this cause type-instabilities or will union-splitting save us?
+    f = istrans(vi, vn) ? invlink_transform(dist) : identity
+    x, logjac = with_logabsdet_jacobian_and_reconstruct(f, dist, y)
+    return x, logpdf(dist, x) + logjac
+end
+
 # Legacy code that is currently overloaded for the sake of simplicity.
 # TODO: Remove when possible.
 increment_num_produce!(::AbstractVarInfo) = nothing

src/context_implementations.jl

@@ -194,8 +194,8 @@ end
 
 # fallback without sampler
 function assume(dist::Distribution, vn::VarName, vi)
-    r = vi[vn, dist]
-    return r, Bijectors.logpdf_with_trans(dist, r, istrans(vi, vn)), vi
+    r, logp = invlink_with_logpdf(vi, vn, dist)
+    return r, logp, vi
 end
 
 # SampleFromPrior and SampleFromUniform
@@ -211,7 +211,9 @@ function assume(
         if sampler isa SampleFromUniform || is_flagged(vi, vn, "del")
             unset_flag!(vi, vn, "del")
             r = init(rng, dist, sampler)
-            BangBang.setindex!!(vi, vectorize(dist, maybe_link(vi, vn, dist, r)), vn)
+            BangBang.setindex!!(
+                vi, vectorize(dist, maybe_reconstruct_and_link(vi, vn, dist, r)), vn
+            )
             setorder!(vi, vn, get_num_produce(vi))
         else
             # Otherwise we just extract it.
@@ -220,15 +222,17 @@ function assume(
     else
         r = init(rng, dist, sampler)
         if istrans(vi)
-            push!!(vi, vn, link(dist, r), dist, sampler)
+            push!!(vi, vn, reconstruct_and_link(dist, r), dist, sampler)
             # By default `push!!` sets the transformed flag to `false`.
             settrans!!(vi, true, vn)
         else
             push!!(vi, vn, r, dist, sampler)
         end
     end
 
-    return r, Bijectors.logpdf_with_trans(dist, r, istrans(vi, vn)), vi
+    # HACK: The above code might involve an `invlink` somewhere, etc. so we need to correct.
+    logjac = logabsdetjac(istrans(vi, vn) ? link_transform(dist) : identity, r)
+    return r, logpdf(dist, r) - logjac, vi
 end
 
 # default fallback (used e.g. by `SampleFromPrior` and `SampleUniform`)
@@ -470,7 +474,11 @@ function get_and_set_val!(
             r = init(rng, dist, spl, n)
             for i in 1:n
                 vn = vns[i]
-                setindex!!(vi, vectorize(dist, maybe_link(vi, vn, dist, r[:, i])), vn)
+                setindex!!(
+                    vi,
+                    vectorize(dist, maybe_reconstruct_and_link(vi, vn, dist, r[:, i])),
+                    vn,
+                )
                 setorder!(vi, vn, get_num_produce(vi))
             end
         else
@@ -508,13 +516,17 @@ function get_and_set_val!(
             for i in eachindex(vns)
                 vn = vns[i]
                 dist = dists isa AbstractArray ? dists[i] : dists
-                setindex!!(vi, vectorize(dist, maybe_link(vi, vn, dist, r[i])), vn)
+                setindex!!(
+                    vi, vectorize(dist, maybe_reconstruct_and_link(vi, vn, dist, r[i])), vn
+                )
                 setorder!(vi, vn, get_num_produce(vi))
             end
         else
             # r = reshape(vi[vec(vns)], size(vns))
+            # FIXME: Remove `reconstruct` in `getindex_raw(::VarInfo, ...)`
+            # and fix the lines below.
             r_raw = getindex_raw(vi, vec(vns))
-            r = maybe_invlink.((vi,), vns, dists, reshape(r_raw, size(vns)))
+            r = maybe_invlink_and_reconstruct.((vi,), vns, dists, reshape(r_raw, size(vns)))
         end
     else
         f = (vn, dist) -> init(rng, dist, spl)
@@ -525,7 +537,7 @@ function get_and_set_val!(
         # 2. Define an anonymous function which returns `nothing`, which
         #    we then broadcast. This will allocate a vector of `nothing` though.
         if istrans(vi)
-            push!!.((vi,), vns, link.((vi,), vns, dists, r), dists, (spl,))
+            push!!.((vi,), vns, reconstruct_and_link.((vi,), vns, dists, r), dists, (spl,))
             # NOTE: Need to add the correction.
             acclogp!!(vi, sum(logabsdetjac.(bijector.(dists), r)))
             # `push!!` sets the trans-flag to `false` by default.

src/simple_varinfo.jl

@@ -290,7 +290,7 @@ end
 
 # `NamedTuple`
 function Base.getindex(vi::SimpleVarInfo, vn::VarName, dist::Distribution)
-    return maybe_invlink(vi, vn, dist, getindex(vi, vn))
+    return maybe_invlink_and_reconstruct(vi, vn, dist, getindex(vi, vn))
 end
 function Base.getindex(vi::SimpleVarInfo, vns::Vector{<:VarName}, dist::Distribution)
     vals_linked = mapreduce(vcat, vns) do vn
@@ -329,6 +329,9 @@ function getindex_raw(vi::SimpleVarInfo, vns::Vector{<:VarName}, dist::Distribut
     return reconstruct(dist, vals, length(vns))
 end
 
+# HACK: because `VarInfo` isn't ready to implement a proper `getindex_raw`.
+getval(vi::SimpleVarInfo, vn::VarName) = getindex_raw(vi, vn)
+
 Base.haskey(vi::SimpleVarInfo, vn::VarName) = hasvalue(vi.values, vn)
 
 function BangBang.setindex!!(vi::SimpleVarInfo, val, vn::VarName)
@@ -426,7 +429,7 @@ function assume(
 )
     value = init(rng, dist, sampler)
     # Transform if we're working in unconstrained space.
-    value_raw = maybe_link(vi, vn, dist, value)
+    value_raw = maybe_reconstruct_and_link(vi, vn, dist, value)
     vi = BangBang.push!!(vi, vn, value_raw, dist, sampler)
     return value, Bijectors.logpdf_with_trans(dist, value, istrans(vi, vn)), vi
 end
@@ -444,9 +447,9 @@ function dot_assume(
 
     # Transform if we're working in transformed space.
     value_raw = if dists isa Distribution
-        maybe_link.((vi,), vns, (dists,), value)
+        maybe_reconstruct_and_link.((vi,), vns, (dists,), value)
     else
-        maybe_link.((vi,), vns, dists, value)
+        maybe_reconstruct_and_link.((vi,), vns, dists, value)
     end
 
     # Update `vi`
@@ -473,7 +476,7 @@ function dot_assume(
 
     # Update `vi`.
     for (vn, val) in zip(vns, eachcol(value))
-        val_linked = maybe_link(vi, vn, dist, val)
+        val_linked = maybe_reconstruct_and_link(vi, vn, dist, val)
         vi = BangBang.setindex!!(vi, val_linked, vn)
     end
 

src/threadsafe.jl

@@ -178,3 +178,5 @@ end
 
 istrans(vi::ThreadSafeVarInfo, vn::VarName) = istrans(vi.varinfo, vn)
 istrans(vi::ThreadSafeVarInfo, vns::AbstractVector{<:VarName}) = istrans(vi.varinfo, vns)
+
+getval(vi::ThreadSafeVarInfo, vn::VarName) = getval(vi.varinfo, vn)

src/transforming.jl

@@ -15,7 +15,7 @@ function tilde_assume(
 
     # Only transform if `!isinverse` since `vi[vn, right]`
     # already performs the inverse transformation if it's transformed.
-    r_transformed = isinverse ? r : bijector(right)(r)
+    r_transformed = isinverse ? r : link_transform(right)(r)
     return r, lp, setindex!!(vi, r_transformed, vn)
 end
 
@@ -27,7 +27,7 @@ function dot_tilde_assume(
     vi,
 ) where {isinverse}
     r = getindex.((vi,), vns, (dist,))
-    b = bijector(dist)
+    b = link_transform(dist)
 
     is_trans_uniques = unique(istrans.((vi,), vns))
     @assert length(is_trans_uniques) == 1 "DynamicTransformationContext only supports transforming all variables"
@@ -70,7 +70,7 @@ function dot_tilde_assume(
         @assert !isinverse "Trying to invlink non-transformed variables"
     end
 
-    b = bijector(dist)
+    b = link_transform(dist)
     for (vn, ri) in zip(vns, eachcol(r))
         # Only transform if `!isinverse` since `vi[vn, right]`
         # already performs the inverse transformation if it's transformed.

src/utils.jl

@@ -169,10 +169,39 @@ function to_namedtuple_expr(syms, vals=syms)
     return :(NamedTuple{$names_expr}($vals_expr))
 end
 
+"""
+    link_transform(dist)
+
+Returns the constrained-to-unconstrained bijector for distribution `dist`.
+
+By default, this is just `Bijectors.bijector(dist)`.
+
+!!! warning
+    Note that this is not current used by `Bijectors.logpdf_with_trans`,
+    hence that needs to be overloaded separately if the intention is
+    to change behavior of an existing distribution.
+"""
+link_transform(dist) = bijector(dist)
+
+"""
+    invlink_transform(dist)
+
+Returns the unconstrained-to-constrained bijector for distribution `dist`.
+
+By default, this is just `inverse(link_transform(dist))`.
+
+!!! warning
+    Note that this is not current used by `Bijectors.logpdf_with_trans`,
+    hence that needs to be overloaded separately if the intention is
+    to change behavior of an existing distribution.
+"""
+invlink_transform(dist) = inverse(link_transform(dist))
+
 #####################################################
 # Helper functions for vectorize/reconstruct values #
 #####################################################
 
+vectorize(d, r) = vec(r)
 vectorize(d::UnivariateDistribution, r::Real) = [r]
 vectorize(d::MultivariateDistribution, r::AbstractVector{<:Real}) = copy(r)
 vectorize(d::MatrixDistribution, r::AbstractMatrix{<:Real}) = copy(vec(r))
@@ -183,7 +212,23 @@ vectorize(d::MatrixDistribution, r::AbstractMatrix{<:Real}) = copy(vec(r))
 # otherwise we will have error for MatrixDistribution.
 # Note this is not the case for MultivariateDistribution so I guess this might be lack of
 # support for some types related to matrices (like PDMat).
-reconstruct(d::UnivariateDistribution, val::Real) = val
+
+"""
+    reconstruct([f, ]dist, val)
+
+Reconstruct `val` so that it's compatible with `dist`.
+
+If `f` is also provided, the reconstruct value will be
+such that `f(reconstruct_val)` is compatible with `dist`.
+"""
+reconstruct(f, dist, val) = reconstruct(dist, val)
+
+# No-op versions.
+reconstruct(::UnivariateDistribution, val::Real) = val
+reconstruct(::MultivariateDistribution, val::AbstractVector{<:Real}) = val
+reconstruct(::MatrixDistribution, val::AbstractMatrix{<:Real}) = val
+# TODO: Implement no-op `reconstruct` for general array variates.
+
 reconstruct(d::Distribution, val::AbstractVector) = reconstruct(size(d), val)
 reconstruct(::Tuple{}, val::AbstractVector) = val[1]
 reconstruct(s::NTuple{1}, val::AbstractVector) = copy(val)