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PyMC3 v3.8 (29 November, 2019)
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@ColCarroll ColCarroll released this 30 Nov 18:21
v3.8
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Learn about vigilant mode.

New features

  • Implemented robust u turn check in NUTS (similar to stan-dev/stan#2800). See PR [#3605]
  • Add capabilities to do inference on parameters in a differential equation with DifferentialEquation. See #3590 and #3634.
  • Distinguish between Data and Deterministic variables when graphing models with graphviz. PR #3491.
  • Sequential Monte Carlo - Approximate Bayesian Computation step method is now available. The implementation is in an experimental stage and will be further improved.
  • Added Matern12 covariance function for Gaussian processes. This is the Matern kernel with nu=1/2.
  • Progressbar reports number of divergences in real time, when available #3547.
  • Sampling from variational approximation now allows for alternative trace backends [#3550].
  • Infix @ operator now works with random variables and deterministics #3619.
  • ArviZ is now a requirement, and handles plotting, diagnostics, and statistical checks.
  • Can use GaussianRandomWalk in sample_prior_predictive and sample_prior_predictive #3682
  • Now 11 years of S&P returns in data set#3682

Maintenance

  • Moved math operations out of Rice, TruncatedNormal, Triangular and ZeroInflatedNegativeBinomial random methods. Math operations on values returned by draw_values might not broadcast well, and all the size aware broadcasting is left to generate_samples. Fixes #3481 and #3508
  • Parallelization of population steppers (DEMetropolis) is now set via the cores argument. (#3559)
  • Fixed a bug in Categorical.logp. In the case of multidimensional p's, the indexing was done wrong leading to incorrectly shaped tensors that consumed O(n**2) memory instead of O(n). This fixes issue #3535
  • Fixed a defect in OrderedLogistic.__init__ that unnecessarily increased the dimensionality of the underlying p. Related to issue issue #3535 but was not the true cause of it.
  • SMC: stabilize covariance matrix 3573
  • SMC: is no longer a step method of pm.sample now it should be called using pm.sample_smc 3579
  • SMC: improve computation of the proposal scaling factor 3594 and 3625
  • SMC: reduce number of logp evaluations 3600
  • SMC: remove scaling and tune_scaling arguments as is a better idea to always allow SMC to automatically compute the scaling factor 3625
  • Now uses multiprocessong rather than psutil to count CPUs, which results in reliable core counts on Chromebooks.
  • sample_posterior_predictive now preallocates the memory required for its output to improve memory usage. Addresses problems raised in this discourse thread.
  • Fixed a bug in Categorical.logp. In the case of multidimensional p's, the indexing was done wrong leading to incorrectly shaped tensors that consumed O(n**2) memory instead of O(n). This fixes issue #3535
  • Fixed a defect in OrderedLogistic.__init__ that unnecessarily increased the dimensionality of the underlying p. Related to issue issue #3535 but was not the true cause of it.
  • Wrapped DensityDist.rand with generate_samples to make it aware of the distribution's shape. Added control flow attributes to still be able to behave as in earlier versions, and to control how to interpret the size parameter in the random callable signature. Fixes 3553
  • Added theano.gof.graph.Constant to type checks done in _draw_value (fixes issue 3595)
  • HalfNormal did not used to work properly in draw_values, sample_prior_predictive, or sample_posterior_predictive (fixes issue 3686)
  • Random variable transforms were inadvertently left out of the API documentation. Added them. (See PR 3690).
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