MBM: optional GP-based M sampling on InfiniteGDP models - #139
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dnguyen227 wants to merge 14 commits into
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MBM: optional GP-based M sampling on InfiniteGDP models #139dnguyen227 wants to merge 14 commits into
dnguyen227 wants to merge 14 commits into
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Codecov Report✅ All modified and coverable lines are covered by tests. Additional details and impacted files@@ Coverage Diff @@
## master #139 +/- ##
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+ Coverage 99.51% 99.53% +0.02%
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Files 17 19 +2
Lines 2061 2153 +92
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+ Hits 2051 2143 +92
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@pulsipher ready for review |
pulsipher
requested changes
Aug 25, 2026
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This is better, but I think it can be made less complicated.
dnguyen227
commented
Aug 31, 2026
| julia> method = MBM(HiGHS.Optimizer, sampler = GPSampler(kappa = 4.0)) | ||
| ``` | ||
| """ | ||
| struct GPSampler{K} <: AbstractMBMSampler |
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Move to AbstractGPsDisjunctiveProgramming.jl
dnguyen227
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Sep 2, 2026
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| ################################################################################ | ||
| # SAMPLER CONFIG | ||
| ################################################################################ | ||
| # The concrete sampler behind DP.GPSampler; the base package only | ||
| # carries the function stub, so constructing one requires AbstractGPs. | ||
| struct _GPSampler{F} <: DP.AbstractMBMSampler | ||
| f::F | ||
| std_dev_margin::Float64 | ||
| frac_supports::Float64 | ||
| detect_uniform_M::Bool | ||
| initial_supports::Union{Int, Vector{Float64}} | ||
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| function _GPSampler( | ||
| f::F; | ||
| std_dev_margin::Real = 2.5, | ||
| frac_supports::Real = 0.25, | ||
| detect_uniform_M::Bool = true, | ||
| initial_supports = 4 | ||
| ) where {F} | ||
| f isa Union{Nothing, AbstractGPs.GP} || error( | ||
| "`f` must be an `AbstractGPs.GP` prior, e.g. " * | ||
| "`GP(Matern52Kernel())`.") | ||
| std_dev_margin >= 0 || error("`std_dev_margin` must be nonnegative.") | ||
| 0 < frac_supports <= 1 || error("`frac_supports` must be in `(0, 1]`.") | ||
| if initial_supports isa Int | ||
| initial_supports >= 2 || | ||
| error("`initial_supports` must be at least 2.") | ||
| else | ||
| initial_supports = collect(Float64, initial_supports) | ||
| (!isempty(initial_supports) && | ||
| all(frac -> 0 <= frac <= 1, initial_supports)) || | ||
| error("`initial_supports` must be fractions in `[0, 1]`.") | ||
| end | ||
| new{F}(f, Float64(std_dev_margin), Float64(frac_supports), | ||
| detect_uniform_M, initial_supports) | ||
| end | ||
| end | ||
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| DP.GPSampler(f = nothing; kwargs...) = _GPSampler(f; kwargs...) | ||
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Implementation of MBM
Not sure how to work around needing to make a new extension.