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Fix ExGaussian logp #4050

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merged 2 commits into from
Aug 14, 2020
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AlexAndorra
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This is a proper version of #4049, with all the changes related to the ExGaussian's logp.
As suggested by @junpenglao in #4045, this PR adds a tt.switch statement in the ExGaussian logp to replace 0 with epsilon. That way, std_cdf never returns 0, and logpow never returns -inf.

The changes seem to work: pm.ExGaussian.dist(0., .25, 1./6).logp(y).eval() doesn't contain -inf anymore, and the model in Discourse doesn't raise a BadInitialEnergy error.

Thanks for the reviews 🖖

@AlexAndorra AlexAndorra requested a review from junpenglao August 14, 2020 14:11
@AlexAndorra AlexAndorra linked an issue Aug 14, 2020 that may be closed by this pull request
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codecov bot commented Aug 14, 2020

Codecov Report

Merging #4050 into master will increase coverage by 0.00%.
The diff coverage is 100.00%.

Impacted file tree graph

@@           Coverage Diff           @@
##           master    #4050   +/-   ##
=======================================
  Coverage   86.81%   86.82%           
=======================================
  Files          88       88           
  Lines       14150    14154    +4     
=======================================
+ Hits        12285    12289    +4     
  Misses       1865     1865           
Impacted Files Coverage Δ
pymc3/distributions/continuous.py 80.09% <100.00%> (+0.07%) ⬆️

@junpenglao junpenglao merged commit 8dbfc75 into pymc-devs:master Aug 14, 2020
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Thanks!

@AlexAndorra AlexAndorra deleted the fix-exgaussian-logp-bis branch August 14, 2020 15:48
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ExGaussian logp is numerical unstable
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