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reduce number of logp evaluations #3600

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Aug 21, 2019
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reduce number of logp evaluations #3600

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a208c0d
reduce number of logp evaluations
aloctavodia Aug 21, 2019
fd5a2bb
add release note
aloctavodia Aug 21, 2019
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19 changes: 11 additions & 8 deletions pymc3/smc/smc.py
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Original file line number Diff line number Diff line change
Expand Up @@ -191,13 +191,12 @@ def sample_smc(

if parallel and cores > 1:
pool = mp.Pool(processes=cores)
results = pool.starmap(likelihood_logp, [(sample,) for sample in posterior])
else:
results = [likelihood_logp(sample) for sample in posterior]
likelihoods = np.array(results).squeeze()

while beta < 1:
if parallel and cores > 1:
results = pool.starmap(likelihood_logp, [(sample,) for sample in posterior])
else:
results = [likelihood_logp(sample) for sample in posterior]
likelihoods = np.array(results).squeeze()
beta, old_beta, weights, sj = calc_beta(beta, likelihoods, threshold)

model.marginal_likelihood *= sj
Expand Down Expand Up @@ -238,16 +237,20 @@ def sample_smc(
if parallel and cores > 1:
results = pool.starmap(
metrop_kernel,
[(posterior[draw], tempered_logp[draw], *parameters) for draw in range(draws)],
[
(posterior[draw], tempered_logp[draw], likelihoods[draw], *parameters)
for draw in range(draws)
],
)
else:
results = [
metrop_kernel(posterior[draw], tempered_logp[draw], *parameters)
metrop_kernel(posterior[draw], tempered_logp[draw], likelihoods[draw], *parameters)
for draw in tqdm(range(draws), disable=not progressbar)
]

posterior, acc_list = zip(*results)
posterior, acc_list, likelihoods = zip(*results)
posterior = np.array(posterior)
likelihoods = np.array(likelihoods)
acc_rate = sum(acc_list) / proposed
stage += 1

Expand Down
4 changes: 3 additions & 1 deletion pymc3/smc/smc_utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -110,6 +110,7 @@ def _posterior_to_trace(posterior, variables, model, var_info):
def metrop_kernel(
q_old,
old_tempered_logp,
old_likelihood,
proposal,
scaling,
accepted,
Expand Down Expand Up @@ -147,9 +148,10 @@ def metrop_kernel(
q_old, accept = metrop_select(new_tempered_logp - old_tempered_logp, q_new, q_old)
if accept:
accepted += 1
old_likelihood = ll
old_tempered_logp = new_tempered_logp

return q_old, accepted
return q_old, accepted, old_likelihood


def calc_beta(beta, likelihoods, threshold=0.5, psis=True):
Expand Down