Update to the [email protected] interface #2506

Red-Portal · 2025-03-14T23:14:25Z

This PR aims to update Turing's Variational module to match AdvancedVI's new interface starting from v0.3. I will try not to change the interface too much, but given the new features in AdvancedVI, I think breaking changes will be inevitable. Though the focus will be to provide a good default setting rather than to expose all the features.

Currently proposed interface:

using Turing
using AdvancedVI

d = randn(100)
Turing.@model function model()
   x ~ MvNormal(randn(100), 1)
   y ~ InverseGamma()
end
m = model()
q = Turing.Variational.q_fullrank_gaussian(Random.default_rng(), m)
n_iters = 1000
Turing.Variational.vi(m, q, n_iters)

Closes #2507
Closes #2508
Closes #2430

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src/variational/VariationalInference.jl

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yebai · 2025-03-20T21:21:36Z

@Red-Portal, can you fix the tests before I take a look?

Red-Portal · 2025-03-20T21:31:09Z

@yebai I marked the PR as a draft so that we can first agree on an interface, and then I flesh out the implementation and the tests. Do we wish we proceed in another way?

yebai · 2025-03-20T21:51:41Z

Let's address the interface later or in a separate PR since that might require more discussions. For this PR, let's try to keep the VI interface non-breaking where possible.

yebai

Many thanks, @Red-Portal, for the excellent work!

I only have one comment on the interface. See below.

yebai · 2025-05-29T21:37:36Z

src/variational/VariationalInference.jl

+- `state`: Collection of states used for optimization. This can be used to resume from a past call to `vi`.
+- `info`: Information generated during the optimization run.
+"""
+function vi(


This function is a thin wrapper around AdvancedVI.optimize. I'd suggest we consider #2509 (comment) for this interface to make it future-proof:

optimise(model, VI(q, n_iterations, objective; ...), ...)

Given that the function vi itself is more of a legacy from the v0.2 days, I suggest we first go with this and add the new interface in the future? Whatever we decide to do, I think having vi now won't be too much of a hassle in the future. (On that matter, I am sympathetic to the proposal to unify everything into infer)

Co-authored-by: Penelope Yong <[email protected]>

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penelopeysm

Just the changelog entry, please!

Red-Portal · 2025-06-02T20:17:36Z

Ah crap forgot about that one. Sorry will do.

penelopeysm

Excellent work 😄

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yebai · 2025-06-03T16:19:56Z

Thanks @Red-Portal!

Red-Portal · 2025-06-03T21:35:16Z

@yebai @penelopeysm Thank you both for all the feedback!

@yebai

* [skip ci] Bump minor version * Clean up old code (#2574) * Remove src/essential and deprecated function stubs * Fix imports * Export `@addlogprob!` * Fix more tests * Clean up more stuff * Update to the [email protected] interface (#2506) * update to match the [email protected] interface * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * remove plotting * fix formatting Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * fix formatting Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * fix formatting Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * remove unused dependency * Update Project.toml * fix make some arugments of vi initializer to be optional kwargs * remove tests for custom optimizers * remove unused file * Update src/variational/bijectors.jl Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * Update Turing.jl * fix remove call to `AdvancedVI.turnprogress`, which has been removed * apply comments from @yebai * Update src/variational/VariationalInference.jl Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * add old interface as deprecated * bump AdvancedVI version * add deprecation for `meanfield` * add `default_rng` interfaces * add tests for variational inference * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * remove "src/variational/bijectors.jl" (moved to `DynamicPPL.jl`) * add more tests for variational inference initializer * remove non-essential reexports, fix tests * run formatter, rename functions * add documentation * fix run formatter * fix remove debug commits * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * run formatter Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * add Variational submodule * fix docstring style * update docstring style * format docstring style * fix typo Co-authored-by: Penelope Yong <[email protected]> * fix use fixed seed with StableRNGs * fix export variational families * fix forma Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * update changelog for advancedvi 0.4 * fix version number * Format & add some links * fix formatting Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> --------- Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: Hong Ge <[email protected]> Co-authored-by: Penelope Yong <[email protected]> * [no ci] fix changelog --------- Co-authored-by: Kyurae Kim <[email protected]> Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: Hong Ge <[email protected]>

Red-Portal and others added 12 commits March 14, 2025 19:09

update to match the [email protected] interface

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remove plotting

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Red-Portal marked this pull request as draft March 14, 2025 23:23

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Red-Portal mentioned this pull request Mar 16, 2025

AdvancedVI 0.3 and compatibility with Turing.jl #2430

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Red-Portal requested review from yebai, mhauru and torfjelde March 16, 2025 14:08

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Interface for MAP/MLE/VI #2509

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Merge branch 'main' into update_advancedvi

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Merge branch 'main' into update_advancedvi

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Update to the [email protected] interface #2506

Update to the [email protected] interface #2506

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Update to the [email protected] interface #2506

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