Constraints Specification

RxInfer.jl uses a macro called @constraints from GraphPPL to add extra constraints during the inference process. For details on using the @constraints macro, you can check out the official documentation of GraphPPL.

Background and example

Here we briefly cover the mathematical aspects of constraints specification. For additional information and relevant links, please refer to the Bethe Free Energy section. In essence, RxInfer performs Variational Inference (via message passing) given specific constraints $\mathcal{Q}$:

\[q^* = \arg\min_{q(s) \in \mathcal{Q}}F[q](\hat{y}) = \mathbb{E}_{q(s)}\left[\log \frac{q(s)}{p(s, y=\hat{y})} \right]\,.\]

The @model macro specifies generative model p(s, y) where s is a set of random variables and y is a set of observations. In a nutshell the goal of probabilistic programming is to find p(s|y). RxInfer approximates p(s|y) with a proxy distribution q(x) using KL divergence and Bethe Free Energy optimisation procedure. By default there are no extra factorization constraints on q(s) and the optimal solution is q(s) = p(s|y).

For certain problems, it may be necessary to adjust the set of constraints $\mathcal{Q}$ (also known as the variational family of distributions) to either improve accuracy at the expense of computational resources or reduce accuracy to conserve computational resources. Sometimes, we are compelled to impose certain constraints because otherwise, the problem becomes too challenging to solve within a reasonable timeframe.

For instance, consider the following model:

using RxInfer

@model function iid_normal(y)
    μ  ~ Normal(mean = 0.0, variance = 1.0)
    τ  ~ Gamma(shape = 1.0, rate = 1.0)
    y .~ Normal(mean = μ, precision = τ)
end

In this model, we characterize all observations in a dataset y as a Normal distribution with mean μ and precision τ. It's reasonable to assume that the latent variables μ and τ are jointly independent, thereby rendering their joint posterior distribution as:

\[q(μ, τ) = q(μ)q(τ)\,.\]

If we would write the variational family of distribution for such an assumption, it would be expressed as:

\[\mathcal{Q} = \left\{ q : q(μ, τ) = q(μ)q(τ) \right\}\,.\]

We can express this constraint with the @constraints macro:

constraints = @constraints begin
    q(μ, τ) = q(μ)q(τ)
end

Constraints: 
  q(μ, τ) = q(μ)q(τ)

and use the created constraints object to the infer function:

# We need to specify initial marginals, since with the constraints
# the problem becomes inherently iterative (we could also specify initial for the `μ` instead)
init = @initialization begin
    q(τ) = vague(Gamma)
end

result = infer(
    model       = iid_normal(),
    # Sample data from mean `3.1415` and precision `2.7182`
    data        = (y = rand(NormalMeanPrecision(3.1415, 2.7182), 1000), ),
    constraints = constraints,
    initialization = init,
    iterations     = 25
)

Inference results:
  Posteriors       | available for (μ, τ)

println("Estimated mean of `μ` is ", mean(result.posteriors[:μ][end]), " with standard deviation ", std(result.posteriors[:μ][end]))
println("Estimated mean of `τ` is ", mean(result.posteriors[:τ][end]), " with standard deviation ", std(result.posteriors[:τ][end]))

Estimated mean of `μ` is 3.1493233435584918 with standard deviation 0.019113383335000036
Estimated mean of `τ` is 2.7363155210212957 with standard deviation 0.12224956175980002

We observe that the estimates tend to slightly deviate from what the real values are. This behavior is a known characteristic of inference with the aforementioned constraints, often referred to as Mean Field constraints.

General syntax

You can use the @constraints macro with either a regular Julia function or a single begin ... end block. Both ways are valid, as shown below:

# `functional` style
@constraints function create_my_constraints()
    q(μ, τ) = q(μ)q(τ)
end

# `block` style
myconstraints = @constraints begin
    q(μ, τ) = q(μ)q(τ)
end

The function-based syntax can also take arguments, like this:

@constraints function make_constraints(mean_field)
    # Specify mean-field only if the flag is `true`
    if mean_field
        q(μ, τ) = q(μ)q(τ)
    end
end

myconstraints = make_constraints(true)

Constraints: 
  q(μ, τ) = q(μ)q(τ)

Marginal and messages form constraints

To specify marginal or messages form constraints @constraints macro uses :: operator (in somewhat similar way as Julia uses it for multiple dispatch type specification). Read more about available functional form constraints in the Built-In Functional Forms section.

As an example, the following constraint:

@constraints begin
    q(x) :: PointMassFormConstraint()
end

Constraints: 
  q(x) :: PointMassFormConstraint()

indicates that the resulting marginal of the variable (or array of variables) named x must be approximated with a PointMass object. Message passing based algorithms compute posterior marginals as a normalized product of two colliding messages on corresponding edges of a factor graph. In a few words q(x)::PointMassFormConstraint reads as:

\[\mathrm{approximate~} q(x) = \frac{\overrightarrow{\mu}(x)\overleftarrow{\mu}(x)}{\int \overrightarrow{\mu}(x)\overleftarrow{\mu}(x) \mathrm{d}x}\mathrm{~as~PointMass}\]

Sometimes it might be useful to set a functional form constraint on messages too. For example if it is essential to keep a specific Gaussian parametrisation or if some messages are intractable and need approximation. To set messages form constraint @constraints macro uses μ(...) instead of q(...):

@constraints begin
    q(x) :: PointMassFormConstraint()
    μ(x) :: SampleListFormConstraint(1000)
    # it is possible to assign different form constraints on the same variable
    # both for the marginal and for the messages
end

Constraints: 
  q(x) :: PointMassFormConstraint()
  μ(x) :: SampleListFormConstraint(Random._GLOBAL_RNG(), AutoProposal(), BayesBase.BootstrapImportanceSampling())

@constraints macro understands "stacked" form constraints. For example the following form constraint

@constraints begin
    q(x) :: SampleListFormConstraint(1000) :: PointMassFormConstraint()
end

Constraints: 
  q(x) :: SampleListFormConstraint(Random._GLOBAL_RNG(), AutoProposal(), BayesBase.BootstrapImportanceSampling()) :: PointMassFormConstraint()

indicates that the q(x) first must be approximated with a SampleList and in addition the result of this approximation should be approximated as a PointMass.

You can find more information about built-in functional form constraint in the Built-in Functional Forms section. In addition, the ReactiveMP library documentation explains the functional form interfaces and shows how to build a custom functional form constraint that is compatible with RxInfer.jl and ReactiveMP.jl inference engine.

Factorization constraints on posterior distribution q

As has been mentioned above, inference may be not tractable for every model without extra factorization constraints. To circumvent this, RxInfer.jl allows for extra factorization constraints, for example:

@constraints begin
    q(x, y) = q(x)q(y)
end

Constraints: 
  q(x, y) = q(x)q(y)

specifies a so-called mean-field assumption on variables x and y in the model. Furthermore, if x is an array of variables in our model we may induce extra mean-field assumption on x in the following way.

@constraints begin
    q(x) = q(x[begin])..q(x[end])
    q(x, y) = q(x)q(y)
end

Constraints: 
  q(x) = q(x[(begin)..(end)])
  q(x, y) = q(x)q(y)

These constraints specify a mean-field assumption between variables x and y (either single variable or collection of variables) and additionally specify mean-field assumption on variables $x_i$.

Read more about the @constraints macro in the official documentation of GraphPPL

Constraints in submodels

RxInfer allows you to define your generative model hierarchically, using previously defined @model modules as submodels in larger models. Because of this, users need to specify their constraints hierarchically as well to avoid ambiguities. Consider the following example:

@model function inner_inner(τ, y)
    y ~ Normal(τ[1], τ[2])
end

@model function inner(θ, α)
    β ~ Normal(0, 1)
    α ~ Gamma(β, 1)
    α ~ inner_inner(τ = θ)
end

@model function outer()
    local w
    for i = 1:5
        w[i] ~ inner(θ = Gamma(1, 1))
    end
    y ~ inner(θ = w[2:3])
end

To access the variables in the submodels, we use the for q in __submodel__ syntax, which will allow us to specify constraints over variables in the context of an inner submodel:

@constraints begin
    for q in inner
        q(α) :: PointMassFormConstraint()
        q(α, β) = q(α)q(β)
    end
end

Constraints: 
  q(inner) = 
    q(α, β) = q(α)q(β)
    q(α) :: PointMassFormConstraint()

Similarly, we can specify constraints over variables in the context of the innermost submodel by using the for q in __submodel__ syntax twice:

@constraints begin
    for q in inner
        for q in inner_inner
            q(y, τ) = q(y)q(τ[1])q(τ[2])
        end
        q(α) :: PointMassFormConstraint()
        q(α, β) = q(α)q(β)
    end
end

Constraints: 
  q(inner) = 
    q(α, β) = q(α)q(β)
    q(α) :: PointMassFormConstraint()
    q(inner_inner) = 
        q(y, τ) = q(y)q(τ[1])q(τ[2])

The for q in __submodel__ applies the constraints specified in this code block to all instances of __submodel__ in the current context. If we want to apply constraints to a specific instance of a submodel, we can use the for q in (__submodel__, __identifier__) syntax, where __identifier__ is a counter integer. For example, if we want to specify constraints on the first instance of inner in our outer model, we can do so with the following syntax:

@constraints begin
    for q in (inner, 1)
        q(α) :: PointMassFormConstraint()
        q(α, β) = q(α)q(β)
    end
end

Constraints: 
  q((inner, 1)) = 
    q(α, β) = q(α)q(β)
    q(α) :: PointMassFormConstraint()

Factorization constraints specified in a context propagate to their child submodels. This means that we can specify factorization constraints over variables where the factor node that connects the two are in a submodel, without having to specify the factorization constraint in the submodel itself. For example, if we want to specify a factorization constraint between w[2] and w[3] in our outer model, we can specify it in the context of outer, and RxInfer will recognize that these variables are connected through the Normal node in the inner_inner submodel:

@constraints begin
    q(w) = q(w[begin])..q(w[end])
end

Constraints: 
  q(w) = q(w[(begin)..(end)])

Default constraints

Sometimes, a submodel is used in multiple contexts, on multiple levels of hierarchy and in different submodels. In such cases, it becomes cumbersome to specify constraints for each instance of the submodel and track its usage throughout the model. To alleviate this, RxInfer allows users to specify default constraints for a submodel. These constraints will be applied to all instances of the submodel unless overridden by specific constraints. To specify default constraints for a submodel, override the GraphPPL.default_constraints function for the submodel:

RxInfer.GraphPPL.default_constraints(::typeof(inner)) = @constraints begin
    q(α) :: PointMassFormConstraint()
    q(α, β) = q(α)q(β)
end

More information can be found in the GraphPPL documentation.

Prespecified constraints

GraphPPL exports some prespecified constraints that can be used in the @constraints macro, but these constraints can also be passed as top-level constraints in the infer function. For example, to specify a mean-field assumption on all variables in the model, we can use the MeanField constraint:

result = infer(
    model       = iid_normal(),
    data        = (y = rand(NormalMeanPrecision(3.1415, 2.7182), 1000), ),
    constraints = MeanField(), # instead of using `@constraints` macro
    initialization = init,
    iterations  = 25
)

Inference results:
  Posteriors       | available for (μ, τ)