Using DynamicHMC

Turing supports the use of DynamicHMC as a sampler through the DynamicNUTS function.

To use the DynamicNUTS function, you must import the DynamicHMC package as well as Turing. Turing does not formally require DynamicHMC but will include additional functionality if both packages are present.

Here is a brief example:

How to apply DynamicNUTS:

# Import Turing and DynamicHMC.
using DynamicHMC, Turing

# Model definition.
@model function gdemo(x, y)
    s² ~ InverseGamma(2, 3)
    m ~ Normal(0, sqrt(s²))
    x ~ Normal(m, sqrt(s²))
    return y ~ Normal(m, sqrt(s²))
end

# Pull 2,000 samples using DynamicNUTS.
dynamic_nuts = externalsampler(DynamicHMC.NUTS())
chn = sample(gdemo(1.5, 2.0), dynamic_nuts, 2000, progress=false)
Precompiling Turing...
    819.5 ms  ? OptimizationBase
   1447.7 ms  ? Optimization
   2210.6 ms  ? OptimizationOptimJL
Info Given Turing was explicitly requested, output will be shown live 
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
   5676.8 ms  ? Turing
   5899.5 ms  ? Turing → TuringOptimExt
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
Precompiling Optimization...
    821.2 ms  ? OptimizationBase
Info Given Optimization was explicitly requested, output will be shown live 
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
   1447.7 ms  ? Optimization
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
Precompiling OptimizationBase...
Info Given OptimizationBase was explicitly requested, output will be shown live 
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
    781.1 ms  ? OptimizationBase
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: Method definition (::Type{OptimizationBase.OptimizerMissingError})(Any) in module OptimizationBase at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:23 overwritten at /home/runner/.julia/packages/OptimizationBase/sfIfa/src/solve.jl:177.
ERROR: Method overwriting is not permitted during Module precompilation. Use `__precompile__(false)` to opt-out of precompilation.
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
┌ Warning: Replacing docs for `CommonSolve.solve :: Tuple{SciMLBase.OptimizationProblem, Any, Vararg{Any}}` in module `OptimizationBase`
└ @ Base.Docs docs/Docs.jl:243
WARNING: redefinition of constant OptimizationBase.OPTIMIZER_MISSING_ERROR_MESSAGE. This may fail, cause incorrect answers, or produce other errors.
┌ Warning: Replacing docs for `CommonSolve.init :: Tuple{SciMLBase.OptimizationProblem, Any, Vararg{Any}}` in module `OptimizationBase`
└ @ Base.Docs docs/Docs.jl:243
┌ Warning: Replacing docs for `CommonSolve.solve! :: Tuple{SciMLBase.AbstractOptimizationCache}` in module `OptimizationBase`
└ @ Base.Docs docs/Docs.jl:243
Precompiling OptimizationOptimJL...
    796.6 ms  ? OptimizationBase
   1022.6 ms  ? Optimization
Info Given OptimizationOptimJL was explicitly requested, output will be shown live 
┌ Warning: Module Optimization with build ID ffffffff-ffff-ffff-3c2f-8a3540575b5d is missing from the cache.
│ This may mean Optimization [7f7a1694-90dd-40f0-9382-eb1efda571ba] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541
   1160.7 ms  ? OptimizationOptimJL
┌ Warning: Module Optimization with build ID ffffffff-ffff-ffff-3c2f-8a3540575b5d is missing from the cache.
│ This may mean Optimization [7f7a1694-90dd-40f0-9382-eb1efda571ba] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541
Precompiling TuringDynamicHMCExt...
    796.5 ms  ? OptimizationBase
   1035.9 ms  ? Optimization
   1147.5 ms  ? OptimizationOptimJL
   3780.2 ms  ? Turing
    631.8 ms  ? Turing → TuringOptimExt
Info Given TuringDynamicHMCExt was explicitly requested, output will be shown live 
┌ Warning: Module Turing with build ID ffffffff-ffff-ffff-f2e3-851ced1f0f10 is missing from the cache.
│ This may mean Turing [fce5fe82-541a-59a6-adf8-730c64b5f9a0] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541
   1002.8 ms  ? Turing → TuringDynamicHMCExt
┌ Warning: Module Turing with build ID ffffffff-ffff-ffff-f2e3-851ced1f0f10 is missing from the cache.
│ This may mean Turing [fce5fe82-541a-59a6-adf8-730c64b5f9a0] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541
Precompiling TuringOptimExt...
    805.7 ms  ? OptimizationBase
   1010.0 ms  ? Optimization
   1194.8 ms  ? OptimizationOptimJL
   3798.2 ms  ? Turing
Info Given TuringOptimExt was explicitly requested, output will be shown live 
┌ Warning: Module Turing with build ID ffffffff-ffff-ffff-f2e3-851ced1f0f10 is missing from the cache.
│ This may mean Turing [fce5fe82-541a-59a6-adf8-730c64b5f9a0] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541
    606.9 ms  ? Turing → TuringOptimExt
┌ Warning: Module Turing with build ID ffffffff-ffff-ffff-f2e3-851ced1f0f10 is missing from the cache.
│ This may mean Turing [fce5fe82-541a-59a6-adf8-730c64b5f9a0] does not support precompilation but is imported by a module that does.
└ @ Base loading.jl:2541

Chains MCMC chain (2000×5×1 Array{Float64, 3}):

Iterations        = 1:1:2000
Number of chains  = 1
Samples per chain = 2000
Wall duration     = 7.83 seconds
Compute duration  = 7.83 seconds
parameters        = s², m
internals         = lp, logprior, loglikelihood

Use `describe(chains)` for summary statistics and quantiles.
Back to top