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Only swallow domain_errors in various algorithms #3259

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merged 6 commits into from
Feb 13, 2024
Merged

Only swallow domain_errors in various algorithms #3259

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643fd8b
Only swallow domain_errors
WardBrian Jan 24, 2024
5681a81
A few more places
WardBrian Jan 25, 2024
2709df7
Maintain exception safety in top-level services functions
WardBrian Jan 25, 2024
759a569
Fix pathfinder return
WardBrian Jan 25, 2024
24ef95f
Move try/catch outside optimization loop
WardBrian Feb 13, 2024
c95036b
cpplint fix
WardBrian Feb 13, 2024
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4 changes: 2 additions & 2 deletions src/stan/mcmc/hmc/hamiltonians/base_hamiltonian.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ class base_hamiltonian {
void update_potential(Point& z, callbacks::logger& logger) {
try {
z.V = -stan::model::log_prob_propto<true>(model_, z.q);
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
this->write_error_msg_(e, logger);
z.V = std::numeric_limits<double>::infinity();
}
Expand All @@ -62,7 +62,7 @@ class base_hamiltonian {
try {
stan::model::gradient(model_, z.q, z.V, z.g, logger);
z.V = -z.V;
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
this->write_error_msg_(e, logger);
z.V = std::numeric_limits<double>::infinity();
}
Expand Down
4 changes: 2 additions & 2 deletions src/stan/optimization/bfgs.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -309,7 +309,7 @@ class ModelAdaptor {

try {
f = -log_prob_propto<jacobian>(_model, _x, _params_i, _msgs);
} catch (const std::exception &e) {
} catch (const std::domain_error &e) {
if (_msgs)
(*_msgs) << e.what() << std::endl;
return 1;
Expand Down Expand Up @@ -341,7 +341,7 @@ class ModelAdaptor {

try {
f = -log_prob_grad<true, jacobian>(_model, _x, _params_i, _g, _msgs);
} catch (const std::exception &e) {
} catch (const std::domain_error &e) {
if (_msgs)
(*_msgs) << e.what() << std::endl;
return 1;
Expand Down
2 changes: 1 addition & 1 deletion src/stan/optimization/newton.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -60,7 +60,7 @@ double newton_step(M& model, std::vector<double>& params_r,
try {
f1 = stan::model::log_prob_grad<true, jacobian>(model, new_params_r,
params_i, gradient);
} catch (std::exception& e) {
} catch (std::domain_error& e) {
// FIXME: this is not a good way to handle a general exception
f1 = -1e100;
}
Expand Down
9 changes: 7 additions & 2 deletions src/stan/services/experimental/advi/fullrank.hpp
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Expand Up @@ -86,8 +86,13 @@ int fullrank(Model& model, const stan::io::var_context& init,
stan::rng_t>
cmd_advi(model, cont_params, rng, grad_samples, elbo_samples, eval_elbo,
output_samples);
cmd_advi.run(eta, adapt_engaged, adapt_iterations, tol_rel_obj,
max_iterations, logger, parameter_writer, diagnostic_writer);
try {
cmd_advi.run(eta, adapt_engaged, adapt_iterations, tol_rel_obj,
max_iterations, logger, parameter_writer, diagnostic_writer);
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}

return stan::services::error_codes::OK;
}
Expand Down
9 changes: 7 additions & 2 deletions src/stan/services/experimental/advi/meanfield.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -85,8 +85,13 @@ int meanfield(Model& model, const stan::io::var_context& init,
stan::rng_t>
cmd_advi(model, cont_params, rng, grad_samples, elbo_samples, eval_elbo,
output_samples);
cmd_advi.run(eta, adapt_engaged, adapt_iterations, tol_rel_obj,
max_iterations, logger, parameter_writer, diagnostic_writer);
try {
cmd_advi.run(eta, adapt_engaged, adapt_iterations, tol_rel_obj,
max_iterations, logger, parameter_writer, diagnostic_writer);
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}

return stan::services::error_codes::OK;
}
Expand Down
42 changes: 37 additions & 5 deletions src/stan/services/optimize/bfgs.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -96,7 +96,16 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (save_iterations) {
std::vector<double> values;
std::stringstream msg;
model.write_array(rng, cont_vector, disc_vector, values, true, true, &msg);
try {
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
} catch (const std::exception& e) {
if (msg.str().length() > 0) {
logger.info(msg);
}
logger.error(e.what());
return error_codes::SOFTWARE;
}
if (msg.str().length() > 0)
logger.info(msg);

Expand All @@ -119,7 +128,13 @@ int bfgs(Model& model, const stan::io::var_context& init,
" # evals"
" Notes ");

ret = bfgs.step();
try {
ret = bfgs.step();
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}
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Can we move this to the outer part of the while loop?


lp = bfgs.logp();
bfgs.params_r(cont_vector);

Expand Down Expand Up @@ -150,8 +165,16 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (save_iterations) {
std::vector<double> values;
std::stringstream msg;
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
try {
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
} catch (const std::exception& e) {
if (msg.str().length() > 0) {
logger.info(msg);
}
logger.error(e.what());
return error_codes::SOFTWARE;
}
// This if is here to match the pre-refactor behavior
if (msg.str().length() > 0)
logger.info(msg);
Expand All @@ -164,7 +187,16 @@ int bfgs(Model& model, const stan::io::var_context& init,
if (!save_iterations) {
std::vector<double> values;
std::stringstream msg;
model.write_array(rng, cont_vector, disc_vector, values, true, true, &msg);
try {
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
} catch (const std::exception& e) {
if (msg.str().length() > 0) {
logger.info(msg);
}
logger.error(e.what());
return error_codes::SOFTWARE;
}
if (msg.str().length() > 0)
logger.info(msg);
values.insert(values.begin(), lp);
Expand Down
30 changes: 26 additions & 4 deletions src/stan/services/optimize/lbfgs.hpp
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Expand Up @@ -123,7 +123,12 @@ int lbfgs(Model& model, const stan::io::var_context& init,
" # evals"
" Notes ");

ret = lbfgs.step();
try {
ret = lbfgs.step();
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}
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Same here. Generally for any while loops I'd like to just have the try on the outside

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Moved both

lp = lbfgs.logp();
lbfgs.params_r(cont_vector);

Expand Down Expand Up @@ -154,8 +159,16 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (save_iterations) {
std::vector<double> values;
std::stringstream msg;
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
try {
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
} catch (const std::exception& e) {
if (msg.str().length() > 0) {
logger.info(msg);
}
logger.error(e.what());
return error_codes::SOFTWARE;
}
if (msg.str().length() > 0)
logger.info(msg);

Expand All @@ -167,7 +180,16 @@ int lbfgs(Model& model, const stan::io::var_context& init,
if (!save_iterations) {
std::vector<double> values;
std::stringstream msg;
model.write_array(rng, cont_vector, disc_vector, values, true, true, &msg);
try {
model.write_array(rng, cont_vector, disc_vector, values, true, true,
&msg);
} catch (const std::exception& e) {
if (msg.str().length() > 0) {
logger.info(msg);
}
logger.error(e.what());
return error_codes::SOFTWARE;
}
if (msg.str().length() > 0)
logger.info(msg);

Expand Down
2 changes: 1 addition & 1 deletion src/stan/services/optimize/newton.hpp
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Expand Up @@ -62,7 +62,7 @@ int newton(Model& model, const stan::io::var_context& init,
lp = model.template log_prob<false, jacobian>(cont_vector, disc_vector,
&message);
logger.info(message);
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
logger.info("");
logger.info(
"Informational Message: The current"
Expand Down
49 changes: 27 additions & 22 deletions src/stan/services/pathfinder/multi.hpp
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Expand Up @@ -117,28 +117,33 @@ inline int pathfinder_lbfgs_multi(
individual_samples;
individual_samples.resize(num_paths);
std::atomic<size_t> lp_calls{0};
tbb::parallel_for(
tbb::blocked_range<int>(0, num_paths), [&](tbb::blocked_range<int> r) {
for (int iter = r.begin(); iter < r.end(); ++iter) {
auto pathfinder_ret
= stan::services::pathfinder::pathfinder_lbfgs_single<true>(
model, *(init[iter]), random_seed, stride_id + iter,
init_radius, history_size, init_alpha, tol_obj, tol_rel_obj,
tol_grad, tol_rel_grad, tol_param, num_iterations,
num_elbo_draws, num_draws, save_iterations, refresh,
interrupt, logger, init_writers[iter],
single_path_parameter_writer[iter],
single_path_diagnostic_writer[iter], calculate_lp);
if (unlikely(std::get<0>(pathfinder_ret) != error_codes::OK)) {
logger.error(std::string("Pathfinder iteration: ")
+ std::to_string(iter) + " failed.");
return;
try {
tbb::parallel_for(
tbb::blocked_range<int>(0, num_paths), [&](tbb::blocked_range<int> r) {
for (int iter = r.begin(); iter < r.end(); ++iter) {
auto pathfinder_ret
= stan::services::pathfinder::pathfinder_lbfgs_single<true>(
model, *(init[iter]), random_seed, stride_id + iter,
init_radius, history_size, init_alpha, tol_obj, tol_rel_obj,
tol_grad, tol_rel_grad, tol_param, num_iterations,
num_elbo_draws, num_draws, save_iterations, refresh,
interrupt, logger, init_writers[iter],
single_path_parameter_writer[iter],
single_path_diagnostic_writer[iter], calculate_lp);
if (unlikely(std::get<0>(pathfinder_ret) != error_codes::OK)) {
logger.error(std::string("Pathfinder iteration: ")
+ std::to_string(iter) + " failed.");
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return;
}
individual_lp_ratios[iter] = std::move(std::get<1>(pathfinder_ret));
individual_samples[iter] = std::move(std::get<2>(pathfinder_ret));
lp_calls += std::get<3>(pathfinder_ret);
}
individual_lp_ratios[iter] = std::move(std::get<1>(pathfinder_ret));
individual_samples[iter] = std::move(std::get<2>(pathfinder_ret));
lp_calls += std::get<3>(pathfinder_ret);
}
});
});
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}

// if any pathfinders failed, we want to remove their empty results
individual_lp_ratios.erase(
Expand Down Expand Up @@ -231,7 +236,7 @@ inline int pathfinder_lbfgs_multi(
parameter_writer(total_time_str);
}
parameter_writer();
return 0;
return error_codes::OK;
}
} // namespace pathfinder
} // namespace services
Expand Down
17 changes: 13 additions & 4 deletions src/stan/services/pathfinder/single.hpp
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Expand Up @@ -250,7 +250,7 @@ inline elbo_est_t est_approx_draws(LPF&& lp_fun, ConstrainF&& constrain_fun,
approx_samples_col = approx_samples.col(i);
++lp_fun_calls;
lp_mat.coeffRef(i, 1) = lp_fun(approx_samples_col, pathfinder_ss);
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
lp_mat.coeffRef(i, 1) = -std::numeric_limits<double>::infinity();
}
log_stream(logger, pathfinder_ss, iter_msg);
Expand Down Expand Up @@ -530,7 +530,7 @@ auto pathfinder_impl(RNG&& rng, LPFun&& lp_fun, ConstrainFun&& constrain_fun,
lp_fun, constrain_fun, rng, taylor_appx,
num_elbo_draws, alpha, iter_msg, logger),
taylor_appx);
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
logger.warn(iter_msg + "ELBO estimation failed "
+ " with error: " + e.what());
return std::make_pair(internal::elbo_est_t{}, internal::taylor_approx_t{});
Expand Down Expand Up @@ -820,7 +820,16 @@ inline auto pathfinder_lbfgs_single(
logger.info(lbfgs_ss);
lbfgs_ss.str("");
}
throw e;
if (ReturnLpSamples) {
// we want to terminate multi-path pathfinder during these unrecoverable
// exceptions
throw;
Comment on lines +824 to +826
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Why? One pathfinder can fail while the others succeed?

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If one path does something unrecoverable like indexes into a vector out of bounds, I think the right thing to do is stop and say "something is clearly wrong with your model".

Besides that, a primary motivation behind this PR is also to implement an exit() function into the language, which requires the ability to terminate the entire algorithm it is in. If one chain or one path calls exit, the entire thing still needs to halt.

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If one path does something unrecoverable like indexes into a vector out of bounds, I think the right thing to do is stop and say "something is clearly wrong with your model".

Are only unrecoverable errors able to be thrown here? Like if the call to log_prob throws it could be from something recoverable like one of the ode solvers failing for a given set of parameters

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@WardBrian WardBrian Feb 13, 2024 •
edited
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pathfinder_impl catches std::domain_errors, which is what the ODE solvers throw (and is generally what the math library considers 'recoverable'), so the only exceptions which reach this will be unrecoverable ones from the model or issues in our algorithm

} else {
logger.error(e.what());
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return internal::ret_pathfinder<ReturnLpSamples>(
error_codes::SOFTWARE, Eigen::Array<double, Eigen::Dynamic, 1>(0),
Eigen::Matrix<double, Eigen::Dynamic, Eigen::Dynamic>(0, 0), 0);
}
}
}
if (unlikely(save_iterations)) {
Expand Down Expand Up @@ -900,7 +909,7 @@ inline auto pathfinder_lbfgs_single(
approx_samples_constrained_col)
.matrix();
}
} catch (const std::exception& e) {
} catch (const std::domain_error& e) {
std::string err_msg = e.what();
logger.warn(path_num + "Final sampling approximation failed with error: "
+ err_msg);
Expand Down
58 changes: 34 additions & 24 deletions src/stan/services/sample/fixed_param.hpp
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Expand Up @@ -74,9 +74,14 @@ int fixed_param(Model& model, const stan::io::var_context& init,
writer.write_diagnostic_names(s, sampler, model);

auto start = std::chrono::steady_clock::now();
util::generate_transitions(sampler, num_samples, 0, num_samples, num_thin,
refresh, true, false, writer, s, model, rng,
interrupt, logger);
try {
util::generate_transitions(sampler, num_samples, 0, num_samples, num_thin,
refresh, true, false, writer, s, model, rng,
interrupt, logger);
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}
auto end = std::chrono::steady_clock::now();
double sample_delta_t
= std::chrono::duration_cast<std::chrono::milliseconds>(end - start)
Expand Down Expand Up @@ -156,27 +161,32 @@ int fixed_param(Model& model, const std::size_t num_chains,
writers[i].write_diagnostic_names(samples[i], samplers[i], model);
}

tbb::parallel_for(
tbb::blocked_range<size_t>(0, num_chains, 1),
[&samplers, &writers, &samples, &model, &rngs, &interrupt, &logger,
num_samples, num_thin, refresh, chain,
num_chains](const tbb::blocked_range<size_t>& r) {
for (size_t i = r.begin(); i != r.end(); ++i) {
auto start = std::chrono::steady_clock::now();
util::generate_transitions(samplers[i], num_samples, 0, num_samples,
num_thin, refresh, true, false, writers[i],
samples[i], model, rngs[i], interrupt,
logger, chain + i, num_chains);
auto end = std::chrono::steady_clock::now();
double sample_delta_t
= std::chrono::duration_cast<std::chrono::milliseconds>(end
- start)
.count()
/ 1000.0;
writers[i].write_timing(0.0, sample_delta_t);
}
},
tbb::simple_partitioner());
try {
tbb::parallel_for(
tbb::blocked_range<size_t>(0, num_chains, 1),
[&samplers, &writers, &samples, &model, &rngs, &interrupt, &logger,
num_samples, num_thin, refresh, chain,
num_chains](const tbb::blocked_range<size_t>& r) {
for (size_t i = r.begin(); i != r.end(); ++i) {
auto start = std::chrono::steady_clock::now();
util::generate_transitions(
samplers[i], num_samples, 0, num_samples, num_thin, refresh,
true, false, writers[i], samples[i], model, rngs[i], interrupt,
logger, chain + i, num_chains);
auto end = std::chrono::steady_clock::now();
double sample_delta_t
= std::chrono::duration_cast<std::chrono::milliseconds>(end
- start)
.count()
/ 1000.0;
writers[i].write_timing(0.0, sample_delta_t);
}
},
tbb::simple_partitioner());
} catch (const std::exception& e) {
logger.error(e.what());
return error_codes::SOFTWARE;
}
return error_codes::OK;
}

Expand Down
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