Optimization.jl interface for Turing models

Specific Domains Optimization (Mathematical)
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I feel like I’ve seen an example somewhere of how to construct an Optimization.OptimizationFunction from a Turing model, but am not finding it at the moment. Can anyone help me find it? Did I imagine this functionality?

I can use the Optim.jl interface for MLE/MAP estimation no problem, but would like to try fitting some models with the wider galaxy of solvers that are easily available through Optimization.jl.

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2

Giving this a bump…the example below lets me create an OptimizationFunction and OptimizationProblem from the Turing model, but throws a StackOverflowError when I try to solve it. Is this a bug, or just functionality that isn’t implemented?


using Turing
using Optimization, OptimizationOptimJL

@model function example(x, y)
    a ~ Normal()
    b ~ Normal()
    σ ~ Gamma()

    μ = a .+ b .* x
    y ~ MvNormal(μ, σ)
end

x = rand(10)
y = 1 .+ 2x + randn(10)

m = example(x, y)
f = OptimizationFunction(m)
p = OptimizationProblem(f, zeros(3))
solve(p, NelderMead())
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3

There is an exported interface, but it’s not documented:

julia> p = optim_problem(m, MAP());

julia> solve(p.prob, NelderMead())
retcode: Success
u: 3-element Vector{Float64}:
 1.250061897354349
 1.5422820485580477
 1.055306850982959
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4

Thanks! I knew I’d seen it somewhere. Would a documentation PR be wanted, or is this interface still experimental?

5

I don’t know of there’s a reason. I’d recommend opening an issue first to find out before putting in the work.

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