minipcn 0.2.0a4

A minimal preconditioned Crank-Nicolson MCMC sampler

minipcn

A minimal implementation of preconditioned Crank-Nicolson MCMC sampling.

Installation

minipcn can be installed from PyPI using pip:

pip install minipcn

Usage

The basic usage is:

from minipcn import Sampler
import numpy as np

log_prob_fn = ...    # Log-probability function - must be vectorized
dims = ...    # The number of dimensions
rng = np.random.default_rng(42)

sampler = Sampler(
    log_prob_fn=log_prob_fn,
    dims=dims,
    step_fn="pcn",  # Or "tpcn"
)

x0 = rng.normal(size=(100, dims))

chain, history = sampler.sample(x0, n_steps=500, rng=rng)

For a complete example, see the examples directory.

Array API support

minipcn also supports different array API backends via array-api-compat and orng for random number generation.

Usage is then similar to when using numpy, except one must use the RNG from orng and specify the backend via xp:

from minipcn import Sampler
from orng import RandomGenerator
import torch

log_prob_fn = ...    # Log-probability function - must be vectorized
dims = ...    # The number of dimensions
rng = RandomGenerator(backend="torch", seed=42)

sampler = Sampler(
    log_prob_fn=log_prob_fn,
    dims=dims,
    step_fn="pcn",    # Or tpcn
    xp=torch,
)

# Generate initial samples
x0 = rng.randn(size=(100, dims))

# Run the sampler
chain, history = sampler.sample(x0, n_steps=500, rng=rng)

Note: the tpCN step falls back to numpy for fitting the Student-t distribution

Functional API

minipcn also supports explicit functional RNG state via Sampler.sample_functional(...). This is the path to use for JAX compilation or any workflow where RNG state must be threaded explicitly.

The functional API does not take an RNG object but a backend and state:

import jax
import jax.numpy as jnp
from minipcn import Sampler
from orng.functional import create_functional_backend

dims = 4
rng_backend = create_functional_backend("jax")
rng_state = rng_backend.init_state(seed=42, generator=None)
x0, rng_state = rng_backend.normal(
    rng_state,
    loc=0.0,
    scale=1.0,
    size=(32, dims),
    dtype=jnp.float32,
)

def log_prob_fn(x):
    return -0.5 * jnp.sum(x**2, axis=-1)

sampler = Sampler(
    log_prob_fn=log_prob_fn,
    dims=dims,
    step_fn="pcn",
    xp=jnp,
)

samples, history, next_rng_state = sampler.sample_functional(
    x0,
    n_steps=8,
    rng_state=rng_state,
    verbose=False,
    return_last_only=True,
)

sample_functional(...) returns (chain, history, next_rng_state).

To use it under jax.jit, thread the state through the compiled function:

@jax.jit
def
run(x, state):
    samples, history, next_state = sampler.sample_functional(
        x,
        n_steps=8,
        rng_state=state,
        verbose=False,
        return_last_only=True,
    )
    return samples, history, next_state

samples, history, rng_state = run(x0, rng_state)

The backend for sample_functional(...) is inferred from xp. For example:

• xp=np uses the NumPy functional backend
• xp=jax.numpy uses the JAX functional backend
• xp=torch uses the PyTorch functional backend

Use sample(...) for stateful RNG objects and sample_functional(...) when you want explicit RNG state.

Citing minipcn

If you use minipcn in your work, please cite our DOI

If using the tpcn kernel, please also cite Grumitt et al