Make FastLDF the default

Author: penelopeysm

HISTORY.md

@@ -4,6 +4,17 @@
 
 ### Breaking changes
 
+#### Fast Log Density Functions
+
+This version provides a reimplementation of `LogDensityFunction` that provides performance improvements on the order of 2–10× for both model evaluation as well as automatic differentiation.
+Exact speedups depend on the model size: larger models have less significant speedups because the bulk of the work is done in calls to `logpdf`.
+
+For more information about how this is accomplished, please see https://github.com/TuringLang/DynamicPPL.jl/pull/1113 as well as the `src/fasteval.jl` file, which contains extensive comments.
+
+As a result of this change, `LogDensityFunction` no longer stores a VarInfo inside it.
+In general, if `ldf` is a `LogDensityFunction`, it is now only valid to access `ldf.model` and `ldf.adtype`.
+If you were previously relying on this behaviour, you will need to store a VarInfo separately.
+
 #### Parent and leaf contexts
 
 The `DynamicPPL.NodeTrait` function has been removed.
@@ -24,18 +35,6 @@ Removed the method `returned(::Model, values, keys)`; please use `returned(::Mod
 The method `DynamicPPL.init` (for implementing `AbstractInitStrategy`) now has a different signature: it must return a tuple of the generated value, plus a transform function that maps it back to unlinked space.
 This is a generalisation of the previous behaviour, where `init` would always return an unlinked value (in effect forcing the transform to be the identity function).
 
-### Other changes
-
-#### FastLDF
-
-Added `DynamicPPL.Experimental.FastLDF`, a version of `LogDensityFunction` that provides performance improvements on the order of 2–10× for both model evaluation as well as automatic differentiation.
-Exact speedups depend on the model size: larger models have less significant speedups because the bulk of the work is done in calls to `logpdf`.
-
-Please note that `FastLDF` is currently considered internal and its API may change without warning.
-We intend to replace `LogDensityFunction` with `FastLDF` in a release in the near future, but until then we recommend not using it.
-
-For more information about `FastLDF`, please see https://github.com/TuringLang/DynamicPPL.jl/pull/1113 as well as the `src/fasteval.jl` file, which contains extensive comments.
-
 ## 0.38.9
 
 Remove warning when using Enzyme as the AD backend.

docs/src/api.md

@@ -66,6 +66,13 @@ The [LogDensityProblems.jl](https://github.com/tpapp/LogDensityProblems.jl) inte
 LogDensityFunction
 ```
 
+Internally, this is accomplished using:
+
+```@docs
+OnlyAccsVarInfo
+fast_evaluate!!
+```
+
 ## Condition and decondition
 
 A [`Model`](@ref) can be conditioned on a set of observations with [`AbstractPPL.condition`](@ref) or its alias [`|`](@ref).

ext/DynamicPPLMarginalLogDensitiesExt.jl

@@ -6,8 +6,13 @@ using MarginalLogDensities: MarginalLogDensities
 # A thin wrapper to adapt a DynamicPPL.LogDensityFunction to the interface expected by
 # MarginalLogDensities. It's helpful to have a struct so that we can dispatch on its type
 # below.
-struct LogDensityFunctionWrapper{L<:DynamicPPL.LogDensityFunction}
+struct LogDensityFunctionWrapper{
+    L<:DynamicPPL.LogDensityFunction,V<:DynamicPPL.AbstractVarInfo
+}
     logdensity::L
+    # This field is used only to reconstruct the VarInfo later on; it's not needed for the
+    # actual log-density evaluation.
+    varinfo::V
 end
 function (lw::LogDensityFunctionWrapper)(x, _)
     return LogDensityProblems.logdensity(lw.logdensity, x)
@@ -101,7 +106,7 @@ function DynamicPPL.marginalize(
     # Construct the marginal log-density model.
     f = DynamicPPL.LogDensityFunction(model, getlogprob, varinfo)
     mld = MarginalLogDensities.MarginalLogDensity(
-        LogDensityFunctionWrapper(f), varinfo[:], varindices, (), method; kwargs...
+        LogDensityFunctionWrapper(f, varinfo), varinfo[:], varindices, (), method; kwargs...
     )
     return mld
 end
@@ -190,7 +195,7 @@ function DynamicPPL.VarInfo(
     unmarginalized_params::Union{AbstractVector,Nothing}=nothing,
 )
     # Extract the original VarInfo. Its contents will in general be junk.
-    original_vi = mld.logdensity.logdensity.varinfo
+    original_vi = mld.logdensity.varinfo
     # Extract the stored parameters, which includes the modes for any marginalized
     # parameters
     full_params = MarginalLogDensities.cached_params(mld)

src/DynamicPPL.jl

@@ -92,8 +92,10 @@ export AbstractVarInfo,
     getargnames,
     extract_priors,
     values_as_in_model,
-    # LogDensityFunction
+    # LogDensityFunction and fasteval
     LogDensityFunction,
+    fast_evaluate!!,
+    OnlyAccsVarInfo,
     # Leaf contexts
     AbstractContext,
     contextualize,
@@ -198,7 +200,7 @@ include("simple_varinfo.jl")
 include("onlyaccs.jl")
 include("compiler.jl")
 include("pointwise_logdensities.jl")
-include("logdensityfunction.jl")
+include("fasteval.jl")
 include("model_utils.jl")
 include("extract_priors.jl")
 include("values_as_in_model.jl")

src/chains.jl

@@ -137,7 +137,7 @@ end
 """
     ParamsWithStats(
         param_vector::AbstractVector,
-        ldf::DynamicPPL.Experimental.FastLDF,
+        ldf::DynamicPPL.LogDensityFunction,
         stats::NamedTuple=NamedTuple();
         include_colon_eq::Bool=true,
         include_log_probs::Bool=true,
@@ -156,7 +156,7 @@ via `unflatten` plus re-evaluation. It is faster for two reasons:
 """
 function ParamsWithStats(
     param_vector::AbstractVector,
-    ldf::DynamicPPL.Experimental.FastLDF,
+    ldf::DynamicPPL.LogDensityFunction,
     stats::NamedTuple=NamedTuple();
     include_colon_eq::Bool=true,
     include_log_probs::Bool=true,
@@ -174,9 +174,7 @@ function ParamsWithStats(
     else
         (DynamicPPL.ValuesAsInModelAccumulator(include_colon_eq),)
     end
-    _, vi = DynamicPPL.Experimental.fast_evaluate!!(
-        ldf.model, strategy, AccumulatorTuple(accs)
-    )
+    _, vi = DynamicPPL.fast_evaluate!!(ldf.model, strategy, AccumulatorTuple(accs))
     params = DynamicPPL.getacc(vi, Val(:ValuesAsInModel)).values
     if include_log_probs
         stats = merge(

src/experimental.jl

@@ -2,8 +2,6 @@ module Experimental
 
 using DynamicPPL: DynamicPPL
 
-include("fasteval.jl")
-
 # This file only defines the names of the functions, and their docstrings. The actual implementations are in `ext/DynamicPPLJETExt.jl`, since we don't want to depend on JET.jl other than as a weak dependency.
 """
     is_suitable_varinfo(model::Model, varinfo::AbstractVarInfo; kwargs...)

src/fasteval.jl

@@ -30,7 +30,7 @@ import DifferentiationInterface as DI
 using Random: Random
 
 """
-    DynamicPPL.Experimental.fast_evaluate!!(
+    DynamicPPL.fast_evaluate!!(
         [rng::Random.AbstractRNG,]
         model::Model,
         strategy::AbstractInitStrategy,
@@ -84,7 +84,7 @@ end
 end
 
 """
-    FastLDF(
+    DynamicPPL.LogDensityFunction(
         model::Model,
         getlogdensity::Function=getlogjoint_internal,
         varinfo::AbstractVarInfo=VarInfo(model);
@@ -115,26 +115,27 @@ There are several options for `getlogdensity` that are 'supported' out of the bo
   since transforms are only applied to random variables)
 
 !!! note
-    By default, `FastLDF` uses `getlogjoint_internal`, i.e., the result of
-    `LogDensityProblems.logdensity(f, x)` will depend on whether the `FastLDF` was created
-    with a linked or unlinked VarInfo. This is done primarily to ease interoperability with
-    MCMC samplers.
+    By default, `LogDensityFunction` uses `getlogjoint_internal`, i.e., the result of
+    `LogDensityProblems.logdensity(f, x)` will depend on whether the `LogDensityFunction`
+    was created with a linked or unlinked VarInfo. This is done primarily to ease
+    interoperability with MCMC samplers.
 
 If you provide one of these functions, a `VarInfo` will be automatically created for you. If
 you provide a different function, you have to manually create a VarInfo and pass it as the
 third argument.
 
 If the `adtype` keyword argument is provided, then this struct will also store the adtype
 along with other information for efficient calculation of the gradient of the log density.
-Note that preparing a `FastLDF` with an AD type `AutoBackend()` requires the AD backend
-itself to have been loaded (e.g. with `import Backend`).
+Note that preparing a `LogDensityFunction` with an AD type `AutoBackend()` requires the AD
+backend itself to have been loaded (e.g. with `import Backend`).
 
 ## Fields
 
-Note that it is undefined behaviour to access any of a `FastLDF`'s fields, apart from:
+Note that it is undefined behaviour to access any of a `LogDensityFunction`'s fields, apart
+from:
 
-- `fastldf.model`: The original model from which this `FastLDF` was constructed.
-- `fastldf.adtype`: The AD type used for gradient calculations, or `nothing` if no AD
+- `ldf.model`: The original model from which this `LogDensityFunction` was constructed.
+- `ldf.adtype`: The AD type used for gradient calculations, or `nothing` if no AD
   type was provided.
 
 # Extended help
@@ -172,8 +173,9 @@ Traditionally, this problem has been solved by `unflatten`, because that functio
 place values into the VarInfo's metadata alongside the information about ranges and linking.
 That way, when we evaluate with `DefaultContext`, we can read this information out again.
 However, we want to avoid using a metadata. Thus, here, we _extract this information from
-the VarInfo_ a single time when constructing a `FastLDF` object. Inside the FastLDF, we
-store a mapping from VarNames to ranges in that vector, along with link status.
+the VarInfo_ a single time when constructing a `LogDensityFunction` object. Inside the
+LogDensityFunction, we store a mapping from VarNames to ranges in that vector, along with
+link status.
 
 For VarNames with identity optics, this is stored in a NamedTuple for efficiency. For all
 other VarNames, this is stored in a Dict. The internal data structure used to represent this
@@ -185,13 +187,13 @@ ranges to create an `InitFromParams{VectorWithRanges}`, which lets us very quick
 parameter values from the vector.
 
 Note that this assumes that the ranges and link status are static throughout the lifetime of
-the `FastLDF` object. Therefore, a `FastLDF` object cannot handle models which have variable
-numbers of parameters, or models which may visit random variables in different orders depending
-on stochastic control flow. **Indeed, silent errors may occur with such models.** This is a
-general limitation of vectorised parameters: the original `unflatten` + `evaluate!!`
-approach also fails with such models.
+the `LogDensityFunction` object. Therefore, a `LogDensityFunction` object cannot handle
+models which have variable numbers of parameters, or models which may visit random variables
+in different orders depending on stochastic control flow. **Indeed, silent errors may occur
+with such models.** This is a general limitation of vectorised parameters: the original
+`unflatten` + `evaluate!!` approach also fails with such models.
 """
-struct FastLDF{
+struct LogDensityFunction{
     M<:Model,
     AD<:Union{ADTypes.AbstractADType,Nothing},
     F<:Function,
@@ -206,7 +208,7 @@ struct FastLDF{
     _adprep::ADP
     _dim::Int
 
-    function FastLDF(
+    function LogDensityFunction(
         model::Model,
         getlogdensity::Function=getlogjoint_internal,
         varinfo::AbstractVarInfo=VarInfo(model);
@@ -224,7 +226,7 @@ struct FastLDF{
             # Make backend-specific tweaks to the adtype
             adtype = DynamicPPL.tweak_adtype(adtype, model, varinfo)
             DI.prepare_gradient(
-                FastLogDensityAt(model, getlogdensity, all_iden_ranges, all_ranges),
+                LogDensityAt(model, getlogdensity, all_iden_ranges, all_ranges),
                 adtype,
                 x,
             )
@@ -261,13 +263,13 @@ end
 fast_ldf_accs(::typeof(getlogprior)) = AccumulatorTuple((LogPriorAccumulator(),))
 fast_ldf_accs(::typeof(getloglikelihood)) = AccumulatorTuple((LogLikelihoodAccumulator(),))
 
-struct FastLogDensityAt{M<:Model,F<:Function,N<:NamedTuple}
+struct LogDensityAt{M<:Model,F<:Function,N<:NamedTuple}
     model::M
     getlogdensity::F
     iden_varname_ranges::N
     varname_ranges::Dict{VarName,RangeAndLinked}
 end
-function (f::FastLogDensityAt)(params::AbstractVector{<:Real})
+function (f::LogDensityAt)(params::AbstractVector{<:Real})
     strategy = InitFromParams(
         VectorWithRanges(f.iden_varname_ranges, f.varname_ranges, params), nothing
     )
@@ -276,41 +278,58 @@ function (f::FastLogDensityAt)(params::AbstractVector{<:Real})
     return f.getlogdensity(vi)
 end
 
-function LogDensityProblems.logdensity(fldf::FastLDF, params::AbstractVector{<:Real})
-    return FastLogDensityAt(
-        fldf.model, fldf._getlogdensity, fldf._iden_varname_ranges, fldf._varname_ranges
+function LogDensityProblems.logdensity(
+    ldf::LogDensityFunction, params::AbstractVector{<:Real}
+)
+    return LogDensityAt(
+        ldf.model, ldf._getlogdensity, ldf._iden_varname_ranges, ldf._varname_ranges
     )(
         params
     )
 end
 
 function LogDensityProblems.logdensity_and_gradient(
-    fldf::FastLDF, params::AbstractVector{<:Real}
+    ldf::LogDensityFunction, params::AbstractVector{<:Real}
 )
     return DI.value_and_gradient(
-        FastLogDensityAt(
-            fldf.model, fldf._getlogdensity, fldf._iden_varname_ranges, fldf._varname_ranges
+        LogDensityAt(
+            ldf.model, ldf._getlogdensity, ldf._iden_varname_ranges, ldf._varname_ranges
         ),
-        fldf._adprep,
-        fldf.adtype,
+        ldf._adprep,
+        ldf.adtype,
         params,
     )
 end
 
-function LogDensityProblems.capabilities(
-    ::Type{<:DynamicPPL.Experimental.FastLDF{M,Nothing}}
-) where {M}
+function LogDensityProblems.capabilities(::Type{<:LogDensityFunction{M,Nothing}}) where {M}
     return LogDensityProblems.LogDensityOrder{0}()
 end
 function LogDensityProblems.capabilities(
-    ::Type{<:DynamicPPL.Experimental.FastLDF{M,<:ADTypes.AbstractADType}}
+    ::Type{<:LogDensityFunction{M,<:ADTypes.AbstractADType}}
 ) where {M}
     return LogDensityProblems.LogDensityOrder{1}()
 end
-function LogDensityProblems.dimension(fldf::FastLDF)
-    return fldf._dim
+function LogDensityProblems.dimension(ldf::LogDensityFunction)
+    return ldf._dim
 end
 
+"""
+    tweak_adtype(
+        adtype::ADTypes.AbstractADType,
+        model::Model,
+        varinfo::AbstractVarInfo,
+    )
+
+Return an 'optimised' form of the adtype. This is useful for doing
+backend-specific optimisation of the adtype (e.g., for ForwardDiff, calculating
+the chunk size: see the method override in `ext/DynamicPPLForwardDiffExt.jl`).
+The model is passed as a parameter in case the optimisation depends on the
+model.
+
+By default, this just returns the input unchanged.
+"""
+tweak_adtype(adtype::ADTypes.AbstractADType, ::Model, ::AbstractVarInfo) = adtype
+
 ######################################################
 # Helper functions to extract ranges and link status #
 ######################################################