Improve ptemcee

This is a total rewrite of the ptemcee implementation. Originally, we had based ptemcee on emcee, but emcee has changed quite significantly and I anticipate it will be easier to maintain the two uncoupled from hereon. This adds sufficient functionality to ptemcee for it to be usable on gravitational wave events. Here is a summary of the changes

1. Add automatic convergence to the user interface: users now specify nsamples as a the primary input. The sampler will run until it has nsamples independent samples from the posterior. The user now has access to a reduced set of the ptemcee full functionality (e.g. iterations), but this isn't required given the convergence checking.
2. Add diagnostic plots for the autocorrelation time, e.g.:
3. Improve the traceplots to show the convergence and the current posterior samples
4. Add dumping of posterior samples to a .dat file
5. Add multi-processing support, tested on a 16 core machine to give a significant reduction in compute time (exact timings yet to be calculated).
6. Add regular 10-minute checkpointing

Note, I have intentionally put much of the primary logic into functions rather than class methods. This is because eventually we should port changes to parallel bilby and potentially other samplers and this is most easily done from a functional interface (at least for parallel bilby where inheritance causes issues with the parallel aspects).

bilby/core/sampler/ptemcee.py

@@ -13,7 +13,7 @@ import pandas as pd
 import matplotlib.pyplot as plt
 
 from ..utils import logger
-from .base_sampler import MCMCSampler
+from .base_sampler import SamplerError, MCMCSampler
 
 
 class Ptemcee(MCMCSampler):
@@ -49,7 +49,7 @@ class Ptemcee(MCMCSampler):
                  autocorr_c=5, safety=1, frac_threshold=0.01,
                  autocorr_tol=50, autocorr_tau=5, min_tau=1, check_point_deltaT=600,
                  threads=1, exit_code=77, plot=False, store_walkers=False,
-                 ignore_keys_for_tau="recalib", **kwargs):
+                 ignore_keys_for_tau="recalib", pos0="prior", **kwargs):
         super(Ptemcee, self).__init__(
             likelihood=likelihood, priors=priors, outdir=outdir,
             label=label, use_ratio=use_ratio, plot=plot,
@@ -74,6 +74,7 @@ class Ptemcee(MCMCSampler):
         self.threads = threads
         self.store_walkers = store_walkers
         self.ignore_keys_for_tau = ignore_keys_for_tau
+        self.pos0 = pos0
 
         self.check_point_plot = check_point_plot
         self.resume_file = "{}/{}_checkpoint_resume.pickle".format(self.outdir, self.label)
@@ -97,6 +98,37 @@ class Ptemcee(MCMCSampler):
                  for _ in range(self.sampler_init_kwargs["nwalkers"])]
                 for _ in range(self.kwargs['ntemps'])]
 
+    def get_pos0_from_minimize(self):
+        logger.info("Attempting to set pos0 from minimize")
+        from scipy.optimize import minimize
+
+        def neg_log_like(params):
+            try:
+                return -self.log_likelihood(params)
+            except RuntimeError:
+                return +np.inf
+        bounds = [(self.priors[key].minimum, self.priors[key].maximum)
+                  for key in self.search_parameter_keys]
+        trials = 0
+        success = []
+        while True:
+            x0 = self.get_random_draw_from_prior()
+            res = minimize(
+                neg_log_like, x0, bounds=bounds, method='L-BFGS-B', tol=1e-15)
+            if res.success:
+                success.append(res.x)
+            if trials > 100:
+                raise SamplerError("Unable to set pos0 from minimize")
+            if len(success) >= 3:
+                break
+
+        pos0_min = np.min(success, axis=0)
+        pos0_max = np.max(success, axis=0)
+        pos0 = np.random.uniform(
+            pos0_min, pos0_max,
+            size=(self.kwargs["ntemps"], self.kwargs["nwalkers"], self.ndim))
+        return pos0
+
     def setup_sampler(self):
         import ptemcee
         if os.path.isfile(self.resume_file) and self.resume is True:
@@ -132,10 +164,18 @@ class Ptemcee(MCMCSampler):
             self.time_per_check = []
 
             # Initialize the walker postitions
-            pos0 = self.get_pos0_from_prior()
+            pos0 = self.get_pos0()
 
         return self.sampler, pos0
 
+    def get_pos0(self):
+        if self.pos0.lower() == "prior":
+            return self.get_pos0_from_prior()
+        elif self.pos0.lower() == "minimize":
+            return self.get_pos0_from_minimize()
+        else:
+            raise SamplerError("pos0={} not implemented".format(self.pos0))
+
     def setup_pool(self):
         if self.threads > 1:
             import schwimmbad
@@ -394,8 +434,6 @@ def checkpoint(outdir, label, nsamples_effective, sampler, nburn, thin,
     with open(resume_file, "wb") as file:
         dill.dump(data, file, protocol=4)
     del data, sampler_copy
-
-
     logger.info("Finished writing checkpoint")