Update Loo, implement improved algorithm #2730
Merged
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
junpenglao
reviewed
Nov 24, 2017
| @@ -248,6 +247,9 @@ def loo(trace, model=None, pointwise=False, progressbar=False): | |||
| pointwise: bool | |||
| if True the pointwise predictive accuracy will be returned. | |||
| Default False | |||
| reff : float | |||
There was a problem hiding this comment.
Could this be computed within the function if not provided?
There was a problem hiding this comment.
Sure, we can compute it by default.
junpenglao
reviewed
Nov 24, 2017
pymc3/stats.py
Outdated
| reff = 1. | ||
| else: | ||
| eff = pm.effective_n(trace) | ||
| eff_ave = sum(eff[v] for v in eff) / len(eff) |
There was a problem hiding this comment.
This wont work with multivariate RVs. I suggest
pm.stats.dict2pd(eff,'eff').mean()
|
Thanks @aloctavodia! |
jordan-melendez
pushed a commit
to jordan-melendez/pymc3
that referenced
this pull request
Feb 6, 2018
* update loo * small fixes * remove print * remove unused import * add to release-notes * automatic reff calculation * fix eff_ave
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
closes #2697
I adapted the code from https://github.com/avehtari/PSIS, the following list summarizes the changes with respect to that code:
sumlogswithscipy.special.logsumexp_gpinvwithscipy.stats.genpareto.ppfbut the former seems to be 5x faster, so I kept it.Regarding the changes from the user point of view: