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Use dense mass matrix when sampling #32

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bmorris3 opened this issue Sep 2, 2020 · 1 comment
Open

Use dense mass matrix when sampling #32

bmorris3 opened this issue Sep 2, 2020 · 1 comment
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enhancement New feature or request

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@bmorris3
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bmorris3 commented Sep 2, 2020

  • pymc3 supports dense mass matrix adaptation thanks to @dfm's pull request.
  • exoplanet has a handy exoplanet.get_dense_nuts_step function that you can use to get this functionality with minimal intervention.
  • for background read on here and primarily here
  • potentially we can also initialize the chains with the init="adapt_full" or "jitter+adapt_full" methods which should be related?
@bmorris3 bmorris3 added the enhancement New feature or request label Sep 2, 2020
@bmorris3
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bmorris3 commented Sep 2, 2020

More thoughts:

  • it's probably not a good API decision to wrap PyMC3 when we could just ask the user to use PyMC3 methods with minimal additional code. Consider ditching the Model.sample_<sampler> format in favor of a more PyMC3-ish idiom where we initialize with context managers explicitly on the user-facing API.
  • based on @dfm's advice, we could choose to to avoid including exoplanet as a dependency by switching to pm.find_MAP() instead of Model.optimize. This would be the more pymc3-ish way. Need to check that this converges to the right solution as often as exoplanet.optimize.

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