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unroll leapfrogs; fixes #30 #77

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unroll leapfrogs; fixes #30 #77

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972f068
unroll leapfrogs; fixes #30
bob-carpenter Jun 12, 2026
5dbec1a
clang format
bob-carpenter Jun 12, 2026
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24 changes: 18 additions & 6 deletions include/walnuts/walnuts.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -224,12 +224,20 @@ static bool within_tolerance(const F& logp_grad,
Eigen::VectorXd& grad_next) {
double half_step = 0.5 * step;
double logp = logp_next;
for (std::size_t n = 0; n < num_steps; ++n) {
rho_next += half_step * grad_next;
if (num_steps == 0) {
logp_next += logp_momentum(rho_next, inv_mass);
return std::abs(logp_next - logp) <= max_error;
}
// unroll leapfrog for efficiency here
rho_next += half_step * grad_next;
theta_next.array() += step * inv_mass.array() * rho_next.array();
logp_grad(theta_next, logp_next, grad_next);
for (std::size_t n = 1; n < num_steps; ++n) {
rho_next += step * grad_next;
theta_next.array() += step * inv_mass.array() * rho_next.array();
logp_grad(theta_next, logp_next, grad_next);
rho_next += half_step * grad_next;
}
rho_next += half_step * grad_next;
logp_next += logp_momentum(rho_next, inv_mass);
return std::abs(logp_next - logp) <= max_error; // only tests one way
}
Expand Down Expand Up @@ -325,12 +333,16 @@ static bool macro_step(const F& logp_grad, const Eigen::VectorXd& inv_mass,
rho_next = rho;
grad_next = grad;
double half_step = 0.5 * step;
for (std::size_t n = 0; n < num_steps; ++n) {
rho_next += half_step * grad_next;
// unroll leapfrog algorithm, assuming min_micro_steps > 0
rho_next += half_step * grad_next;
theta_next.array() += step * inv_mass.array() * rho_next.array();
logp_grad(theta_next, logp_pos_next, grad_next);
for (std::size_t n = 1; n < num_steps; ++n) {
rho_next += step * grad_next;
theta_next.array() += step * inv_mass.array() * rho_next.array();
logp_grad(theta_next, logp_pos_next, grad_next);
rho_next += half_step * grad_next;
}
rho_next += half_step * grad_next;
logp_next = logp_pos_next + logp_momentum(rho_next, inv_mass);
if (num_steps == min_micro_steps) {
double min_accept = std::exp(-std::fabs(logp - logp_next));
Expand Down
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