fix move prob as part of the state instead of estimate_gradient (#185)

Author: Red-Portal

src/algorithms/paramspacesgd/abstractobjective.jl

@@ -59,7 +59,7 @@ function estimate_objective end
 export estimate_objective
 
 """
-    estimate_gradient!(rng, obj, adtype, out, prob, params, restructure, obj_state)
+    estimate_gradient!(rng, obj, adtype, out, params, restructure, obj_state)
 
 Estimate (possibly stochastic) gradients of the variational objective `obj` targeting `prob` with respect to the variational parameters `λ`
 
@@ -68,7 +68,6 @@ Estimate (possibly stochastic) gradients of the variational objective `obj` targ
 - `obj::AbstractVariationalObjective`: Variational objective.
 - `adtype::ADTypes.AbstractADType`: Automatic differentiation backend. 
 - `out::DiffResults.MutableDiffResult`: Buffer containing the objective value and gradient estimates. 
-- `prob`: The target log-joint likelihood implementing the `LogDensityProblem` interface.
 - `params`: Variational parameters to evaluate the gradient on.
 - `restructure`: Function that reconstructs the variational approximation from `params`.
 - `obj_state`: Previous state of the objective.

src/algorithms/paramspacesgd/paramspacesgd.jl

@@ -91,7 +91,7 @@ function step(
     params, re = Optimisers.destructure(q)
 
     grad_buf, obj_st, info = estimate_gradient!(
-        rng, objective, adtype, grad_buf, prob, params, re, obj_st, objargs...
+        rng, objective, adtype, grad_buf, params, re, obj_st, objargs...
     )
 
     grad = DiffResults.gradient(grad_buf)

src/algorithms/paramspacesgd/repgradelbo.jl

@@ -39,9 +39,10 @@ function init(
         restructure=restructure,
         q_stop=q_stop,
     )
-    return AdvancedVI._prepare_gradient(
+    obj_ad_prep = AdvancedVI._prepare_gradient(
         estimate_repgradelbo_ad_forward, adtype, params, aux
     )
+    return (obj_ad_prep=obj_ad_prep, problem=prob)
 end
 
 function RepGradELBO(n_samples::Int; entropy::AbstractEntropyEstimator=ClosedFormEntropy())
@@ -128,23 +129,22 @@ function estimate_gradient!(
     obj::RepGradELBO,
     adtype::ADTypes.AbstractADType,
     out::DiffResults.MutableDiffResult,
-    prob,
     params,
     restructure,
     state,
 )
-    prep = state
+    (; obj_ad_prep, problem) = state
     q_stop = restructure(params)
     aux = (
         rng=rng,
         adtype=adtype,
         obj=obj,
-        problem=prob,
+        problem=problem,
         restructure=restructure,
         q_stop=q_stop,
     )
     AdvancedVI._value_and_gradient!(
-        estimate_repgradelbo_ad_forward, out, prep, adtype, params, aux
+        estimate_repgradelbo_ad_forward, out, obj_ad_prep, adtype, params, aux
     )
     nelbo = DiffResults.value(out)
     stat = (elbo=(-nelbo),)

src/algorithms/paramspacesgd/scoregradelbo.jl

@@ -28,9 +28,10 @@ function init(
     samples = rand(rng, q, obj.n_samples)
     ℓπ = map(Base.Fix1(LogDensityProblems.logdensity, prob), eachsample(samples))
     aux = (adtype=adtype, logprob_stop=ℓπ, samples_stop=samples, restructure=restructure)
-    return AdvancedVI._prepare_gradient(
+    obj_ad_prep = AdvancedVI._prepare_gradient(
         estimate_scoregradelbo_ad_forward, adtype, params, aux
     )
+    return (obj_ad_prep=obj_ad_prep, problem=prob)
 end
 
 function Base.show(io::IO, obj::ScoreGradELBO)
@@ -82,18 +83,17 @@ function AdvancedVI.estimate_gradient!(
     obj::ScoreGradELBO,
     adtype::ADTypes.AbstractADType,
     out::DiffResults.MutableDiffResult,
-    prob,
     params,
     restructure,
     state,
 )
     q = restructure(params)
-    prep = state
+    (; obj_ad_prep, problem) = state
     samples = rand(rng, q, obj.n_samples)
-    ℓπ = map(Base.Fix1(LogDensityProblems.logdensity, prob), eachsample(samples))
+    ℓπ = map(Base.Fix1(LogDensityProblems.logdensity, problem), eachsample(samples))
     aux = (adtype=adtype, logprob_stop=ℓπ, samples_stop=samples, restructure=restructure)
     AdvancedVI._value_and_gradient!(
-        estimate_scoregradelbo_ad_forward, out, prep, adtype, params, aux
+        estimate_scoregradelbo_ad_forward, out, obj_ad_prep, adtype, params, aux
     )
     ℓq = logpdf.(Ref(q), AdvancedVI.eachsample(samples))
     elbo = mean(ℓπ - ℓq)