Manifold Markov chain Monte Carlo methods in Python
Mici
Mici is a Python package providing implementations of Markov chain Monte Carlo (MCMC) methods for approximate inference in probabilistic models, with a particular focus on MCMC methods based on simulating Hamiltonian dynamics on a manifold.
Features
Key features include
 implementations of MCMC methods for sampling from distributions on embedded
manifolds implicitlydefined by a constraint equation and distributions on
Riemannian manifolds with a userspecified metric,  a modular design allowing use of a wide range of inference algorithms by
mixing and matching different components, making it easy for users to
extend the package and use within their own code,  computationally efficient inference via transparent caching of the results
of expensive operations and intermediate results calculated in derivative
computations allowing later reuse without recalculation,  memory efficient inference for large models by memorymapping chains to
disk, allowing long runs on large models without hitting memory issues.
Installation
To install and use Mici the minimal requirements are a Python 3.6+ environment
with NumPy and SciPy
installed. The latest Mici release on PyPI (and its dependencies) can be
installed in the current Python environment by running
pip install mici
To instead install the latest development version from the master
branch on Github run
pip install git+https://github.com/mattgraham/mici
If available in the installed Python environment the following additional
packages provide extra functionality and features
 Autograd: if available Autograd will
be used to automatically compute the required derivatives of the model
functions (providing they are specified using functions from the
autograd.numpy
andautograd.scipy
interfaces). To sample chains in
parallel usingautograd
functions you also need to install
multiprocess. This will
causemultiprocess.Pool
to be used in preference to the inbuilt
mutiprocessing.Pool
for parallelisation as multiprocess supports
serialisation (via dill) of a much
wider range of types, including of Autograd generated functions. Both
Autograd and multiprocess can be installed alongside Mici by runningpip install mici[autodiff]
.  RandomGen: if RandomGen is
available therandomgen.Xorshift1024
random number generator will be used
when running multiple chains in parallel, with thejump
method of the
object used to reproducibly generate independent substreams. RandomGen can
be installed alongside Mici by runningpip install mici[randomgen]
.  ArviZ: if ArviZ is
available outputs of a sampling run can be converted to an
arviz.InferenceData
container object using
mici.utils.convert_to_arviz_inference_data
, allowing straightforward use
of the extensive Arviz visualisation and diagnostic functionality.
Why Mici?
Mici is named for Augusta 'Mici'
Teller, who along with
Arianna Rosenbluth
developed the code for the MANIAC I
computer used in the seminal paper Equations of State Calculations by Fast
Computing Machines which introduced the
first example of a Markov chain Monte Carlo method.
Related projects
Other Python packages for performing MCMC inference include
PyMC3,
PyStan (the Python interface to
Stan), Pyro /
NumPyro, TensorFlow
Probability,
emcee and
Sampyl.
Unlike PyMC3, PyStan, (Num)Pyro and TensorFlow Probability which are complete
probabilistic programming frameworks including functionality for definining a
probabilistic model / program, but like emcee and Sampyl, Mici is solely
focussed on providing implementations of inference algorithms, with the user
expected to be able to define at a minimum a function specifying the negative
log (unnormalised) density of the distribution of interest.
Further while PyStan, (Num)Pyro and TensorFlow Probability all push the
sampling loop into external compiled nonPython code, in Mici the sampling loop
is run directly within Python. This has the consequence that for small models
in which the negative log density of the target distribution and other model
functions are cheap to evaluate, the interpreter overhead in iterating over the
chains in Python can dominate the computational cost, making sampling much
slower than packages which outsource the sampling loop to a efficient compiled
implementation.
Overview of package
API documentation for the package is available
here. The three main userfacing
modules within the mici
package are the systems
, integrators
and
samplers
modules and you will generally need to create an instance of one
class from each module.
mici.systems

Hamiltonian systems encapsulating model functions and their derivatives
EuclideanMetricSystem
 systems with a metric on the position space with
a constant matrix representation,GaussianEuclideanMetricSystem
 systems in which the target distribution
is defined by a density with respect to the standard Gaussian measure on
the position space allowing analytically solving for flow corresponding to
the quadratic components of Hamiltonian
(Shahbaba et al., 2014),RiemannianMetricSystem
 systems with a metric on the position space
with a positiondependent matrix representation
(Girolami and Calderhead, 2011),SoftAbsRiemannianMetricSystem
 system with SoftAbs
eigenvalueregularised Hessian of negative log target density as metric
matrix representation (Betancourt, 2013),DenseConstrainedEuclideanMetricSystem
 Euclideanmetric system subject
to holonomic constraints
(Hartmann and Schütte, 2005;
Brubaker, Salzmann and Urtasun, 2012;
Lelièvre, Rousset and Stoltz, 2018)
with a dense constraint function Jacobian matrix,
mici.integrators

symplectic integrators for Hamiltonian dynamics
LeapfrogIntegrator
 explicit leapfrog (StörmerVerlet) integrator for
separable Hamiltonian systems
(Leimkulher and Reich, 2004),ImplicitLeapfrogIntegrator
 implicit (or generalised) leapfrog
integrator for nonseparable Hamiltonian systems
(Leimkulher and Reich, 2004),ConstrainedLeapfrogIntegrator
 constrained leapfrog integrator for
Hamiltonian systems subject to holonomic constraints
(Andersen, 1983;
Leimkuhler and Reich, 1994).
mici.samplers
 MCMC
samplers for peforming inference
StaticMetropolisHMC
 Static integration time Hamiltonian Monte Carlo
with Metropolis accept step (Duane et al., 1987),RandomMetropolisHMC
 Random integration time Hamiltonian Monte Carlo
with Metropolis accept step (Mackenzie, 1989),DynamicMultinomialHMC
 Dynamic integration time Hamiltonian Monte Carlo
with multinomial sampling from trajectory
(Hoffman and Gelman, 2014;
Betancourt, 2017).
Example: sampling on a torus
A simple complete example of using the package to compute approximate samples
from a distribution on a twodimensional torus embedded in a threedimensional
space is given below. The computed samples are visualised in the animation
above. Here we use autograd
to automatically construct functions to calculate
the required derivatives (gradient of negative log density of target
distribution and Jacobian of constraint function), sample four chains in
parallel using multiprocess
and use matplotlib
to plot the samples.
from mici import systems, integrators, samplers
import autograd.numpy as np
import matplotlib.pyplot as plt
from mpl_toolkits.mplot3d import Axes3D
import matplotlib.animation as animation
# Define fixed model parameters
R = 1.0 # toroidal radius ∈ (0, ∞)
r = 0.5 # poloidal radius ∈ (0, R)
α = 0.9 # density fluctuation amplitude ∈ [0, 1)
# Define constraint function such that the set {q : constr(q) == 0} is a torus
def constr(q):
x, y, z = q.T
return np.stack([((x**2 + y**2)**0.5  R)**2 + z**2  r**2], 1)
# Define negative log density for the target distribution on torus
# (with respect to 2D 'area' measure for torus)
def neg_log_dens(q):
x, y, z = q.T
θ = np.arctan2(y, x)
ϕ = np.arctan2(z, x / np.cos(θ)  R)
return np.log1p(r * np.cos(ϕ) / R)  np.log1p(np.sin(4*θ) * np.cos(ϕ) * α)
# Specify constrained Hamiltonian system with default identity metric
system = systems.DenseConstrainedEuclideanMetricSystem(neg_log_dens, constr)
# System is constrained therefore use constrained leapfrog integrator
integrator = integrators.ConstrainedLeapfrogIntegrator(system, step_size=0.2)
# Seed a random number generator
rng = np.random.RandomState(seed=1234)
# Use dynamic integrationtime HMC implementation as MCMC sampler
sampler = samplers.DynamicMultinomialHMC(system, integrator, rng)
# Sample initial positions on torus using parameterisation (θ, ϕ) ∈ [0, 2π)²
# x, y, z = (R + r * cos(ϕ)) * cos(θ), (R + r * cos(ϕ)) * sin(θ), r * sin(ϕ)
n_chain = 4
θ_init, ϕ_init = rng.uniform(0, 2 * np.pi, size=(2, n_chain))
q_init = np.stack([
(R + r * np.cos(ϕ_init)) * np.cos(θ_init),
(R + r * np.cos(ϕ_init)) * np.sin(θ_init),
r * np.sin(ϕ_init)], 1)
# Define function to extract variables to trace during sampling
def trace_func(state):
x, y, z = state.pos
return {'x': x, 'y': y, 'z': z}
# Sample four chains of 2500 samples in parallel
final_states, traces, stats = sampler.sample_chains(
n_sample=2500, init_states=q_init, n_process=4, trace_funcs=[trace_func])
# Print average accept probability and number of integrator steps per chain
for c in range(n_chain):
print(f"Chain {c}:")
print(f" Average accept prob. = {stats['accept_prob'][c].mean():.2f}")
print(f" Average number steps = {stats['n_step'][c].mean():.1f}")
# Visualise concatentated chain samples as animated 3D scatter plot
fig = plt.figure(figsize=(4, 4))
ax = Axes3D(fig, [0., 0., 1., 1.], proj_type='ortho')
points_3d, = ax.plot(*(np.concatenate(traces[k]) for k in 'xyz'), '.', ms=0.5)
ax.axis('off')
for set_lim in [ax.set_xlim, ax.set_ylim, ax.set_zlim]:
set_lim((1, 1))
def update(i):
angle = 45 * (np.sin(2 * np.pi * i / 60) + 1)
ax.view_init(elev=angle, azim=angle)
return (points_3d,)
anim = animation.FuncAnimation(fig, update, frames=60, interval=100, blit=True)
GitHub
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