Allow to collect nested dict keys in mcmc (#1905)

* allow to collect nested dict key

* add docstring to nested attrgetter

* make sure that the behavior is consistent for attrgetter

numpyro/infer/mcmc.py

@@ -20,6 +20,7 @@
     fori_collect,
     identity,
     is_prng_key,
+    nested_attrgetter,
 )
 
 __all__ = [
@@ -192,7 +193,7 @@ def _collect_fn(collect_fields, remove_sites):
     @cached_by(_collect_fn, collect_fields, remove_sites)
     def collect(x):
         if collect_fields:
-            fields = attrgetter(*collect_fields)(x[0])
+            fields = nested_attrgetter(*collect_fields)(x[0])
 
             if remove_sites != ():
                 fields = [fields] if len(collect_fields) == 1 else list(fields)
@@ -585,7 +586,10 @@ def warmup(
         :param extra_fields: Extra fields (aside from :meth:`~numpyro.infer.mcmc.MCMCKernel.default_fields`)
             from the state object (e.g. :data:`numpyro.infer.hmc.HMCState` for HMC) to collect during
             the MCMC run. Exclude sample sites from collection with "~`sampler.sample_field`.`sample_site`".
-            e.g. "~z.a" will prevent site "a" from being collected if you're using the NUTS sampler.
+            e.g. "~z.a" will prevent site "a" from being collected if you're using the NUTS sampler. To
+            collect samples of a site "a" in the unconstrained space, we can specify the variable here, e.g.
+            `extra_fields=("z.a",)`.
+
         :type extra_fields: tuple or list
         :param bool collect_warmup: Whether to collect samples from the warmup phase. Defaults
             to `False`.
@@ -622,7 +626,8 @@ def run(self, rng_key, *args, extra_fields=(), init_params=None, **kwargs):
             during the MCMC run. Note that subfields can be accessed using dots, e.g.
             `"adapt_state.step_size"` can be used to collect step sizes at each step. Exclude sample sites from
             collection with "~`sampler.sample_field`.`sample_site`". e.g. "~z.a" will prevent site "a" from
-            being collected if you're using the NUTS sampler.
+            being collected if you're using the NUTS sampler. To collect samples of a site "a" in the
+            unconstrained space, we can specify the variable here, e.g. `extra_fields=("z.a",)`.
         :type extra_fields: tuple or list of str
         :param init_params: Initial parameters to begin sampling. The type must be consistent
             with the input type to `potential_fn` provided to the kernel. If the kernel is

numpyro/util.py

@@ -778,3 +778,28 @@ def find_stack_level() -> int:
         else:
             break
     return n
+
+
+def nested_attrgetter(*collect_fields):
+    """
+    Like attrgetter, but allows for accessing dictionary keys
+    using the dot notation (e.g., 'x.c.d').
+    """
+
+    def getter(obj):
+        results = tuple(_get_nested_attr(obj, field) for field in collect_fields)
+        return results if len(collect_fields) > 1 else results[0]
+
+    return getter
+
+
+def _get_nested_attr(obj, field):
+    """
+    Helper function to recursively access attributes and dictionary keys.
+    """
+    for attr in field.split("."):
+        try:
+            obj = getattr(obj, attr)
+        except AttributeError:
+            obj = obj[attr]
+    return obj

test/infer/test_mcmc.py

@@ -1199,3 +1199,12 @@ def model():
     samps = mcmc.get_samples()
 
     assert all([site[3:] not in samps for site in remove_sites])
+
+
+def test_extra_fields_include_unconstrained_samples():
+    def model():
+        numpyro.sample("x", dist.HalfNormal(1))
+
+    mcmc = MCMC(NUTS(model), num_warmup=10, num_samples=10)
+    mcmc.run(random.PRNGKey(0), extra_fields=("z.x",))
+    assert_allclose(mcmc.get_samples()["x"], jnp.exp(mcmc.get_extra_fields()["z.x"]))