Update Model initialization

Project.toml

@@ -1,7 +1,7 @@
 name = "ModelWrappers"
 uuid = "44c54197-9f56-47cc-9960-7f2e20bfb0d6"
 authors = ["Patrick Aschermayr <[email protected]>"]
-version = "0.2.4"
+version = "0.2.5"
 
 [deps]
 ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"

src/Models/Models.jl

@@ -7,6 +7,8 @@ include("parameterinfo.jl")
 include("modelwrapper.jl")
 include("tagged.jl")
 include("objective.jl")
+include("initial.jl")
+
 #!NOTE: Remove Soss dependency from ModelWrappers because of heavy deps. Can make separate BaytesSoss later on.
 #include("_soss.jl")
 ############################################################################################

src/Models/initial.jl

@@ -0,0 +1,56 @@
+############################################################################################
+"""
+$(TYPEDEF)
+
+Abstract method to initialize parameter for individual kernels.
+
+# Fields
+$(TYPEDFIELDS)
+"""
+abstract type AbstractInitialization end
+
+"Use current model.val parameter as initial parameter"
+struct NoInitialization <: AbstractInitialization end
+
+"Sample (up to Ntrials) times from prior and check if log target distribution is finite at proposed parameter in unconstrained space."
+struct PriorInitialization <: AbstractInitialization
+    Ntrials::Int64
+    function PriorInitialization(Ntrials::Integer)
+        return new(Ntrials)
+    end
+end
+
+"Use custom optimization technique for initialization."
+struct OptimInitialization{T} <: AbstractInitialization
+    method::T
+    function OptimInitialization(method::T) where {T}
+        return new{T}(method)
+    end
+end
+
+############################################################################################
+function (initialization::NoInitialization)(algorithm, objective::Objective)
+    #Check if initial parameter satisfy prior constraints
+    ℓθᵤ = objective(unconstrain_flatten(objective.model, objective.tagged))
+    @argcheck isfinite(ℓθᵤ) "Log target function at initial value not finite. Change initial parameter or sample from prior via PriorParameter"
+    return nothing
+end
+
+function (initialization::PriorInitialization)(algorithm, objective::Objective)
+    # Set initial counter
+    @unpack Ntrials = init
+    ℓθᵤ = -Inf
+    counter = 0
+    # Sample from prior until finite log target is obtained
+    while !isfinite(ℓθᵤ) && counter <= Ntrials
+        counter += 1
+        sample!(objective.model, objective.tagged)
+        ℓθᵤ = objective(unconstrain_flatten(objective.model, objective.tagged))
+    end
+    ArgCheck.@argcheck counter <= NInitial "Could find initial parameter with finite log target density. Adjust intial values, prior, or increase number of intial samples."
+    return nothing
+end
+
+############################################################################################
+# Export
+export AbstractInitialization, NoInitialization, PriorInitialization, OptimInitialization

test/runtests.jl

@@ -45,7 +45,8 @@ using ModelWrappers:
     Symmetric_from_flatten,
     flatten_Simplex,
     Simplex_from_flatten!,
-    Simplex_from_flatten
+    Simplex_from_flatten,
+    init
 
 ############################################################################################
 # Include Files

test/test-objective.jl

@@ -20,6 +20,33 @@ function (objective::Objective{<:ModelWrapper{SossBenchmark}})(θ::NamedTuple)
     return lp + ll
 end
 
+@testset "Objective - No Initialization" begin
+    initmethod = NoInitialization()
+    _objective = deepcopy(obectiveSossBM)
+    _val = deepcopy(_objective.model.val)
+
+    initmethod(nothing, _objective)
+    @test _val == _objective.model.val
+end
+
+@testset "Objective - Prior Initialization" begin
+    initmethod = PriorInitialization(100)
+    _objective = deepcopy(obectiveSossBM)
+    _val = deepcopy(_objective.model.val)
+
+    initmethod(nothing, _objective)
+    @test _val != _objective.model.val
+end
+
+@testset "Objective - Prior Initialization, partially Tagged" begin
+    initmethod = PriorInitialization(100)
+    _objective = Objective(deepcopy(obectiveSossBM.model), obectiveSossBM.data, Tagged(obectiveSossBM.model, :σ))
+    _val = deepcopy(_objective.model.val)
+
+    initmethod(nothing, _objective)
+    @test _val != _objective.model.val
+    @test _val.μ == _objective.model.val.μ
+end
 
 ################################################################################
 #!NOTE: Remove Soss dependency from ModelWrappers and make separete BaytesSoss, so heavy deps. removed