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UserWarning if doing predictive sampling with models containing Potentials #4419

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merged 4 commits into from
Jan 16, 2021
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Merged

UserWarning if doing predictive sampling with models containing Potentials #4419

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d06eadf
Raise warning when sampling with Potentials
ricardoV94 Jan 15, 2021
a3f8d05
Add warning to fast_sample_ppc and unittests
ricardoV94 Jan 15, 2021
f98f9c7
Add release note
ricardoV94 Jan 15, 2021
51db510
Avoid sampling in unittests
ricardoV94 Jan 16, 2021
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23 changes: 23 additions & 0 deletions pymc3/sampling.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1692,6 +1692,13 @@ def sample_posterior_predictive(

model = modelcontext(model)

if model.potentials:
warnings.warn(
"The effect of Potentials on other parameters is ignored during posterior predictive sampling. "
"This is likely to lead to invalid or biased predictive samples.",
UserWarning,
)

if var_names is not None:
vars_ = [model[x] for x in var_names]
else:
Expand Down Expand Up @@ -1791,6 +1798,15 @@ def sample_posterior_predictive_w(
if models is None:
models = [modelcontext(models)] * len(traces)

for model in models:
if model.potentials:
warnings.warn(
"The effect of Potentials on other parameters is ignored during posterior predictive sampling. "
"This is likely to lead to invalid or biased predictive samples.",
UserWarning,
)
break

if weights is None:
weights = [1] * len(traces)

Expand Down Expand Up @@ -1903,6 +1919,13 @@ def sample_prior_predictive(
"""
model = modelcontext(model)

if model.potentials:
warnings.warn(
"The effect of Potentials on other parameters is ignored during prior predictive sampling. "
"This is likely to lead to invalid or biased predictive samples.",
UserWarning,
)

if var_names is None:
prior_pred_vars = model.observed_RVs
prior_vars = (
Expand Down