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MLE estimation fails with error #2342

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rkube opened this issue Sep 25, 2024 · 5 comments
Closed

MLE estimation fails with error #2342

rkube opened this issue Sep 25, 2024 · 5 comments
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@mhauru @torfjelde

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@rkube
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rkube commented Sep 25, 2024

Hi,
I'm trying to generate an MLE estimate for my model, following the docs

A vanilla call to optimize suggests that the model hasn't converged:

mle_estimate = optimize(model, MLE())

┌ Warning:     Optimization did not converge! You may need to correct your model or adjust the
│     Optim parameters.
└ @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:182

Adding more iterations and allowing f to increase throws an error:

# Increase the iterations and allow function eval to increase between calls.
mle_estimate = optimize(model, MLE(), Newton(), Optim.Options(iterations=10_000, allow_f_increases=true))


ERROR: type TwiceDifferentiableHV has no field h_calls
Stacktrace:
  [1] getproperty
    @ ./Base.jl:37 [inlined]
  [2] dotgetproperty(x::NLSolversBase.TwiceDifferentiableHV{Float64, Vector{…}, Vector{…}, Vector{…}}, f::Symbol)
    @ Base ./Base.jl:44
  [3] hessian!!(obj::NLSolversBase.TwiceDifferentiableHV{Float64, Vector{…}, Vector{…}, Vector{…}}, x::Vector{Float64})
    @ NLSolversBase ~/.julia/packages/NLSolversBase/kavn7/src/interface.jl:93
  [4] initial_state(method::Newton{…}, options::Optim.Options{…}, d::NLSolversBase.TwiceDifferentiableHV{…}, initial_x::Vector{…})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/multivariate/solvers/second_order/newton.jl:46
  [5] optimize(d::NLSolversBase.TwiceDifferentiableHV{…}, initial_x::Vector{…}, method::Newton{…}, options::Optim.Options{…})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/optimize.jl:36
  [6] optimize(f::NLSolversBase.InplaceObjective{…}, initial_x::Vector{…}, method::Newton{…}, options::Optim.Options{…}; inplace::Bool, autodiff::Symbol)
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/interface.jl:143
  [7] optimize(f::NLSolversBase.InplaceObjective{…}, initial_x::Vector{…}, method::Newton{…}, options::Optim.Options{…})
    @ Optim ~/.julia/packages/Optim/ZhuZN/src/multivariate/optimize/interface.jl:139
  [8] _optimize(::DynamicPPL.Model{…}, ::LogDensityFunction{…}, ::Vector{…}, ::Newton{…}, ::Optim.Options{…}; kwargs::@Kwargs{})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:178
  [9] _optimize(::DynamicPPL.Model{…}, ::LogDensityFunction{…}, ::Vector{…}, ::Newton{…}, ::Optim.Options{…})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:162
 [10] _mle_optimize(::DynamicPPL.Model{…}, ::Vector{…}, ::Vararg{…}; kwargs::@Kwargs{})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:84
 [11] _mle_optimize(::DynamicPPL.Model{…}, ::Vector{…}, ::Vararg{…})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:82
 [12] optimize(model::DynamicPPL.Model{…}, ::MLE, optimizer::Newton{…}, options::Optim.Options{…}; kwargs::@Kwargs{})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:69
 [13] optimize(model::DynamicPPL.Model{…}, ::MLE, optimizer::Newton{…}, options::Optim.Options{…})
    @ TuringOptimExt ~/.julia/packages/Turing/QN7BL/ext/TuringOptimExt.jl:59
 [14] top-level scope
    @ ~/julia_envs/test_inverse/src/bayes_inverse_3d_plot.jl:54
Some type information was truncated. Use `show(err)` to see complete types.
@torfjelde
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A vanilla call to optimize suggests that the model hasn't converged:

Strange 😕 Works just fine on my end.

Can you do

]st --manifest

and share the output? It might be that you have some discrepancies in the deps.

Mine is listed below:

Manifest 
(jl_fmxAL9) pkg> st --manifest
Status `/tmp/jl_fmxAL9/Manifest.toml`
  [47edcb42] ADTypes v1.9.0
  [621f4979] AbstractFFTs v1.5.0
  [80f14c24] AbstractMCMC v5.3.0
  [7a57a42e] AbstractPPL v0.8.4
  [1520ce14] AbstractTrees v0.4.5
  [7d9f7c33] Accessors v0.1.38
  [79e6a3ab] Adapt v4.0.4
  [0bf59076] AdvancedHMC v0.6.1
  [5b7e9947] AdvancedMH v0.8.3
  [576499cb] AdvancedPS v0.6.0
  [b5ca4192] AdvancedVI v0.2.6
  [66dad0bd] AliasTables v1.1.3
  [dce04be8] ArgCheck v2.3.0
  [ec485272] ArnoldiMethod v0.4.0
  [4fba245c] ArrayInterface v7.16.0
  [a9b6321e] Atomix v0.1.0
  [13072b0f] AxisAlgorithms v1.1.0
  [39de3d68] AxisArrays v0.4.7
  [198e06fe] BangBang v0.4.3
  [9718e550] Baselet v0.1.1
  [e2ed5e7c] Bijections v0.1.9
  [76274a88] Bijectors v0.13.18
  [fa961155] CEnum v0.5.0
  [082447d4] ChainRules v1.71.0
  [d360d2e6] ChainRulesCore v1.25.0
  [9e997f8a] ChangesOfVariables v0.1.9
  [861a8166] Combinatorics v1.0.2
  [38540f10] CommonSolve v0.2.4
  [bbf7d656] CommonSubexpressions v0.3.1
  [f70d9fcc] CommonWorldInvalidations v1.0.0
  [34da2185] Compat v4.16.0
  [b152e2b5] CompositeTypes v0.1.4
  [a33af91c] CompositionsBase v0.1.2
  [88cd18e8] ConsoleProgressMonitor v0.1.2
  [187b0558] ConstructionBase v1.5.8
  [a8cc5b0e] Crayons v4.1.1
  [717857b8] DSP v0.7.9
  [9a962f9c] DataAPI v1.16.0
  [864edb3b] DataStructures v0.18.20
  [e2d170a0] DataValueInterfaces v1.0.0
  [244e2a9f] DefineSingletons v0.1.2
  [8bb1440f] DelimitedFiles v1.9.1
  [b429d917] DensityInterface v0.4.0
  [85a47980] Dictionaries v0.4.2
  [163ba53b] DiffResults v1.1.0
  [b552c78f] DiffRules v1.15.1
  [31c24e10] Distributions v0.25.112
  [ced4e74d] DistributionsAD v0.6.55
  [ffbed154] DocStringExtensions v0.9.3
  [5b8099bc] DomainSets v0.7.14
⌅ [366bfd00] DynamicPPL v0.28.4
  [7c1d4256] DynamicPolynomials v0.6.0
  [b7d42ee7] Einsum v0.4.1
  [cad2338a] EllipticalSliceSampling v2.0.0
  [4e289a0a] EnumX v1.0.4
  [e2ba6199] ExprTools v0.1.10
⌅ [6b7a57c9] Expronicon v0.8.5
  [7a1cc6ca] FFTW v1.8.0
  [1a297f60] FillArrays v1.13.0
  [6a86dc24] FiniteDiff v2.24.0
  [1fa38f19] Format v1.3.7
  [f6369f11] ForwardDiff v0.10.36
  [069b7b12] FunctionWrappers v1.1.3
  [77dc65aa] FunctionWrappersWrappers v0.1.3
  [d9f16b24] Functors v0.4.12
  [46192b85] GPUArraysCore v0.1.6
  [86223c79] Graphs v1.11.2
  [1baab800] HybridArrays v0.4.16
  [34004b35] HypergeometricFunctions v0.3.24
  [615f187c] IfElse v0.1.1
  [313cdc1a] Indexing v1.1.1
  [d25df0c9] Inflate v0.1.5
  [22cec73e] InitialValues v0.3.1
  [505f98c9] InplaceOps v0.3.0
  [18e54dd8] IntegerMathUtils v0.1.2
  [a98d9a8b] Interpolations v0.15.1
  [8197267c] IntervalSets v0.7.10
  [3587e190] InverseFunctions v0.1.17
  [41ab1584] InvertedIndices v1.3.0
  [92d709cd] IrrationalConstants v0.2.2
  [c8e1da08] IterTools v1.10.0
  [82899510] IteratorInterfaceExtensions v1.0.0
  [692b3bcd] JLLWrappers v1.6.0
  [63c18a36] KernelAbstractions v0.9.27
  [5ab0869b] KernelDensity v0.6.9
  [2c470bb0] Kronecker v0.5.5
  [5be7bae1] LBFGSB v0.4.1
  [929cbde3] LLVM v9.1.2
  [8ac3fa9e] LRUCache v1.6.1
  [b964fa9f] LaTeXStrings v1.3.1
  [984bce1d] LambertW v0.4.6
  [23fbe1c1] Latexify v0.16.5
  [1d6d02ad] LeftChildRightSiblingTrees v0.2.0
  [6f1fad26] Libtask v0.8.7
  [d3d80556] LineSearches v7.3.0
  [7a12625a] LinearMaps v3.11.3
  [6fdf6af0] LogDensityProblems v2.1.1
  [996a588d] LogDensityProblemsAD v1.10.1
  [2ab3a3ac] LogExpFunctions v0.3.28
  [e6f89c97] LoggingExtras v1.0.3
  [c7f686f2] MCMCChains v6.0.6
  [be115224] MCMCDiagnosticTools v0.3.10
  [e80e1ace] MLJModelInterface v1.11.0
  [d8e11817] MLStyle v0.4.17
  [1914dd2f] MacroTools v0.5.13
  [af67fdf4] ManifoldDiff v0.3.12
⌅ [1cead3c2] Manifolds v0.9.20
  [3362f125] ManifoldsBase v0.15.16
  [dbb5928d] MappedArrays v0.4.2
  [99c1a7ee] MatrixEquations v2.4.2
  [128add7d] MicroCollections v0.2.0
  [e1d29d7a] Missings v1.2.0
  [102ac46a] MultivariatePolynomials v0.5.6
  [d8a4904e] MutableArithmetics v1.4.6
  [d41bc354] NLSolversBase v7.8.3
  [872c559c] NNlib v0.9.24
  [77ba4419] NaNMath v1.0.2
  [86f7a689] NamedArrays v0.10.3
  [356022a1] NamedDims v1.2.2
  [c020b1a1] NaturalSort v1.0.0
  [6fe1bfb0] OffsetArrays v1.14.1
  [429524aa] Optim v1.9.4
  [3bd65402] Optimisers v0.3.3
⌅ [7f7a1694] Optimization v3.28.0
⌅ [bca83a33] OptimizationBase v1.5.0
⌅ [36348300] OptimizationOptimJL v0.3.2
  [bac558e1] OrderedCollections v1.6.3
  [90014a1f] PDMats v0.11.31
  [d96e819e] Parameters v0.12.3
  [f27b6e38] Polynomials v4.0.11
  [85a6dd25] PositiveFactorizations v0.2.4
  [aea7be01] PrecompileTools v1.2.1
  [21216c6a] Preferences v1.4.3
  [08abe8d2] PrettyTables v2.4.0
  [27ebfcd6] Primes v0.5.6
  [33c8b6b6] ProgressLogging v0.1.4
  [92933f4c] ProgressMeter v1.10.2
  [43287f4e] PtrArrays v1.2.1
  [1fd47b50] QuadGK v2.11.1
  [94ee1d12] Quaternions v0.7.6
  [74087812] Random123 v1.7.0
  [e6cf234a] RandomNumbers v1.6.0
  [b3c3ace0] RangeArrays v0.3.2
  [c84ed2f1] Ratios v0.4.5
  [c1ae055f] RealDot v0.1.0
  [3cdcf5f2] RecipesBase v1.3.4
  [731186ca] RecursiveArrayTools v3.27.0
  [189a3867] Reexport v1.2.2
  [ae029012] Requires v1.3.0
  [79098fc4] Rmath v0.8.0
  [f2b01f46] Roots v2.2.1
  [7e49a35a] RuntimeGeneratedFunctions v0.5.13
⌅ [26aad666] SSMProblems v0.1.1
  [0bca4576] SciMLBase v2.54.0
  [c0aeaf25] SciMLOperators v0.3.10
  [53ae85a6] SciMLStructures v1.5.0
  [30f210dd] ScientificTypesBase v3.0.0
  [efcf1570] Setfield v1.1.1
  [699a6c99] SimpleTraits v0.9.4
  [ce78b400] SimpleUnPack v1.1.0
  [47aef6b3] SimpleWeightedGraphs v1.4.0
  [a2af1166] SortingAlgorithms v1.2.1
  [dc90abb0] SparseInverseSubset v0.1.2
  [276daf66] SpecialFunctions v2.4.0
  [171d559e] SplittablesBase v0.1.15
  [90137ffa] StaticArrays v1.9.7
  [1e83bf80] StaticArraysCore v1.4.3
  [64bff920] StatisticalTraits v3.4.0
  [82ae8749] StatsAPI v1.7.0
  [2913bbd2] StatsBase v0.34.3
  [4c63d2b9] StatsFuns v1.3.2
  [892a3eda] StringManipulation v0.4.0
  [09ab397b] StructArrays v0.6.18
  [4297ee4d] SymbolicAnalysis v0.3.0
  [2efcf032] SymbolicIndexingInterface v0.3.31
  [19f23fe9] SymbolicLimits v0.2.2
  [d1185830] SymbolicUtils v3.7.1
  [0c5d862f] Symbolics v6.13.0
  [3783bdb8] TableTraits v1.0.1
  [bd369af6] Tables v1.12.0
  [8ea1fca8] TermInterface v2.0.0
  [5d786b92] TerminalLoggers v0.1.7
  [a759f4b9] TimerOutputs v0.5.24
  [9f7883ad] Tracker v0.2.35
  [28d57a85] Transducers v0.4.82
  [fce5fe82] Turing v0.34.1
  [3a884ed6] UnPack v1.0.2
  [a7c27f48] Unityper v0.1.6
  [013be700] UnsafeAtomics v0.2.1
  [d80eeb9a] UnsafeAtomicsLLVM v0.2.1
  [efce3f68] WoodburyMatrices v1.0.0
  [700de1a5] ZygoteRules v0.2.5
  [f5851436] FFTW_jll v3.3.10+1
  [1d5cc7b8] IntelOpenMP_jll v2024.2.1+0
  [dad2f222] LLVMExtra_jll v0.0.34+0
  [81d17ec3] L_BFGS_B_jll v3.0.1+0
  [856f044c] MKL_jll v2024.2.0+0
  [efe28fd5] OpenSpecFun_jll v0.5.5+0
  [f50d1b31] Rmath_jll v0.5.1+0
  [1317d2d5] oneTBB_jll v2021.12.0+0
  [0dad84c5] ArgTools v1.1.1
  [56f22d72] Artifacts
  [2a0f44e3] Base64
  [ade2ca70] Dates
  [8ba89e20] Distributed
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching
  [9fa8497b] Future
  [b77e0a4c] InteractiveUtils
  [4af54fe1] LazyArtifacts
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2
  [8f399da3] Libdl
  [37e2e46d] LinearAlgebra
  [56ddb016] Logging
  [d6f4376e] Markdown
  [a63ad114] Mmap
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.10.0
  [de0858da] Printf
  [3fa0cd96] REPL
  [9a3f8284] Random
  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization
  [1a1011a3] SharedArrays
  [6462fe0b] Sockets
  [2f01184e] SparseArrays v1.10.0
  [10745b16] Statistics v1.10.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test
  [cf7118a7] UUIDs
  [4ec0a83e] Unicode
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.4.0+0
  [e37daf67] LibGit2_jll v1.6.4+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.2+1
  [14a3606d] MozillaCACerts_jll v2023.1.10
  [4536629a] OpenBLAS_jll v0.3.23+4
  [05823500] OpenLibm_jll v0.8.1+2
  [bea87d4a] SuiteSparse_jll v7.2.1+1
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.11.0+0
  [8e850ede] nghttp2_jll v1.52.0+1
  [3f19e933] p7zip_jll v17.4.0+2
Info Packages marked with ⌅ have new versions available but compatibility constraints restrict them from upgrading. To see why use `status --outdated -m`

@rkube
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rkube commented Sep 25, 2024

Thanks for looking into this, here is manifest:

  [621f4979] AbstractFFTs v1.5.0
  [80f14c24] AbstractMCMC v5.3.0
  [7f219486] AbstractNFFTs v0.8.2
  [7a57a42e] AbstractPPL v0.8.4
  [1520ce14] AbstractTrees v0.4.5
  [7d9f7c33] Accessors v0.1.38
  [79e6a3ab] Adapt v4.0.4
⌃ [35492f91] AdaptivePredicates v1.1.1
  [0bf59076] AdvancedHMC v0.6.1
⌃ [5b7e9947] AdvancedMH v0.8.2
  [576499cb] AdvancedPS v0.6.0
  [b5ca4192] AdvancedVI v0.2.6
  [66dad0bd] AliasTables v1.1.3
  [27a7e980] Animations v0.4.1
  [dce04be8] ArgCheck v2.3.0
  [c7e460c6] ArgParse v1.2.0
  [ec485272] ArnoldiMethod v0.4.0
  [4fba245c] ArrayInterface v7.16.0
  [a9b6321e] Atomix v0.1.0
  [67c07d97] Automa v1.0.4
  [13072b0f] AxisAlgorithms v1.1.0
  [39de3d68] AxisArrays v0.4.7
  [ab4f0b2a] BFloat16s v0.5.0
  [198e06fe] BangBang v0.4.3
  [9718e550] Baselet v0.1.1
  [26cce99e] BasicInterpolators v0.7.1
  [6e4b80f9] BenchmarkTools v1.5.0
  [e2ed5e7c] Bijections v0.1.9
  [76274a88] Bijectors v0.13.18
  [fa961155] CEnum v0.5.0
⌅ [052768ef] CUDA v5.4.3
  [1af6417a] CUDA_Runtime_Discovery v0.3.5
  [159f3aea] Cairo v1.1.0
⌃ [13f3f980] CairoMakie v0.12.10
  [49dc2e85] Calculus v0.5.1
⌃ [082447d4] ChainRules v1.70.0
⌃ [d360d2e6] ChainRulesCore v1.24.0
  [9e997f8a] ChangesOfVariables v0.1.9
  [a2cac450] ColorBrewer v0.4.0
  [35d6a980] ColorSchemes v3.26.0
  [3da002f7] ColorTypes v0.11.5
  [c3611d14] ColorVectorSpace v0.10.0
  [5ae59095] Colors v0.12.11
  [861a8166] Combinatorics v1.0.2
  [a80b9123] CommonMark v0.8.12
  [38540f10] CommonSolve v0.2.4
  [bbf7d656] CommonSubexpressions v0.3.1
  [f70d9fcc] CommonWorldInvalidations v1.0.0
  [34da2185] Compat v4.16.0
  [b152e2b5] CompositeTypes v0.1.4
  [a33af91c] CompositionsBase v0.1.2
  [2569d6c7] ConcreteStructs v0.2.3
  [8f4d0f93] Conda v1.10.2
  [88cd18e8] ConsoleProgressMonitor v0.1.2
  [187b0558] ConstructionBase v1.5.8
  [6add18c4] ContextVariablesX v0.1.3
  [d38c429a] Contour v0.6.3
  [a8cc5b0e] Crayons v4.1.1
  [717857b8] DSP v0.7.9
  [9a962f9c] DataAPI v1.16.0
  [a93c6f00] DataFrames v1.6.1
  [864edb3b] DataStructures v0.18.20
  [e2d170a0] DataValueInterfaces v1.0.0
  [244e2a9f] DefineSingletons v0.1.2
⌃ [927a84f5] DelaunayTriangulation v1.3.1
  [8bb1440f] DelimitedFiles v1.9.1
  [b429d917] DensityInterface v0.4.0
  [85a47980] Dictionaries v0.4.2
  [163ba53b] DiffResults v1.1.0
  [b552c78f] DiffRules v1.15.1
  [aaf54ef3] DistributedArrays v0.6.7
  [31c24e10] Distributions v0.25.111
  [ced4e74d] DistributionsAD v0.6.55
  [ffbed154] DocStringExtensions v0.9.3
  [5b8099bc] DomainSets v0.7.14
⌅ [366bfd00] DynamicPPL v0.28.4
  [7c1d4256] DynamicPolynomials v0.6.0
  [b7d42ee7] Einsum v0.4.1
  [cad2338a] EllipticalSliceSampling v2.0.0
  [4e289a0a] EnumX v1.0.4
  [429591f6] ExactPredicates v2.2.8
  [e2ba6199] ExprTools v0.1.10
⌅ [6b7a57c9] Expronicon v0.8.5
  [411431e0] Extents v0.1.4
  [7a1cc6ca] FFTW v1.8.0
  [cc61a311] FLoops v0.2.2
  [b9860ae5] FLoopsBase v0.1.1
  [5789e2e9] FileIO v1.16.3
  [8fc22ac5] FilePaths v0.8.3
  [48062228] FilePathsBase v0.9.22
  [1a297f60] FillArrays v1.13.0
  [6a86dc24] FiniteDiff v2.24.0
  [53c48c17] FixedPointNumbers v0.8.5
⌃ [587475ba] Flux v0.14.19
  [1fa38f19] Format v1.3.7
  [f6369f11] ForwardDiff v0.10.36
  [b38be410] FreeType v4.1.1
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@torfjelde
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Strange 😕 Works just fine on my end.

Just re-read your issue @rkube and I think I originally misunderstood you; I thought you were explicitly running the example in the docs, but I'm guess you're running it on your own model but following the pattern in the docs?

If so, it's a bit difficult to debug exactly what's going wrong without seeing the model. Does performing a MAP estimate work?

Though the Newton example is indeed pointing to a bug. We'll have to look into that.

@rkube
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rkube commented Oct 9, 2024

I was actually trying to optimize the model from the documentation. But somehow I was looking at the documentation for a previous version.
Running the example from the documentation, also with Newton works. fine.

@rkube rkube closed this as completed Oct 9, 2024
@torfjelde
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Ah nice, glad to hear @rkube !:)

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