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Release Notes

PyMC3 vNext (on deck)

This release breaks some APIs w.r.t. 3.10.0. It also brings some dreadfully awaited fixes, so be sure to go through the changes below. (Or latest when you run into problems.)

Breaking Changes

  • Python 3.6 support was dropped (by no longer testing) and Python 3.9 was added (see #4332).
  • Changed shape behavior: No longer collapse length 1 vector shape into scalars. (see #4206 and #4214)
    • Applies to random variables and also the .random(size=...) kwarg!
    • To create scalar variables you must now use shape=None or shape=().
    • shape=(1,) and shape=1 now become vectors. Previously they were collapsed into scalars
    • 0-length dimensions are now ruled illegal for random variables and raise a ValueError.
  • In sample_prior_predictive the vars kwarg was removed in favor of var_names (see #4327).
  • Removed theanof.set_theano_config because it illegally changed Theano's internal state (see #4329).

New Features

  • Option to set check_bounds=False when instantiating pymc3.Model(). This turns off bounds checks that ensure that input parameters of distributions are valid. For correctly specified models, this is unneccessary as all parameters get automatically transformed so that all values are valid. Turning this off should lead to faster sampling (see #4377).
  • OrderedProbit distribution added (see #4232).
  • plot_posterior_predictive_glm now works with arviz.InferenceData as well (see #4234)

Maintenance

  • Fixed bug whereby partial traces returns after keyboard interrupt during parallel sampling had fewer draws than would've been available #4318
  • Make sample_shape same across all contexts in draw_values (see #4305).
  • The notebook gallery has been moved to https://github.com/pymc-devs/pymc-examples (see #4348).
  • math.logsumexp now matches scipy.special.logsumexp when arrays contain infinite values (see #4360).
  • Fixed mathematical formulation in MvStudentT random method. (see #4359)
  • Fix issue in logp method of HyperGeometric. It now returns -inf for invalid parameters (see 4367)

PyMC3 3.10.0 (7 December 2020)

This is a major release with many exciting new features. The biggest change is that we now rely on our own fork of Theano-PyMC. This is in line with our big announcement about our commitment to PyMC3 and Theano.

When upgrading, make sure that Theano-PyMC and not Theano are installed (the imports remain unchanged, however). If not, you can uninstall Theano:

conda remove theano

And to install:

conda install -c conda-forge theano-pymc

Or, if you are using pip (not recommended):

pip uninstall theano

And to install:

pip install theano-pymc

This new version of Theano-PyMC comes with an experimental JAX backend which, when combined with the new and experimental JAX samplers in PyMC3, can greatly speed up sampling in your model. As this is still very new, please do not use it in production yet but do test it out and let us know if anything breaks and what results you are seeing, especially speed-wise.

New features

  • New experimental JAX samplers in pymc3.sample_jax (see notebook and #4247). Requires JAX and either TFP or numpyro.
  • Add MLDA, a new stepper for multilevel sampling. MLDA can be used when a hierarchy of approximate posteriors of varying accuracy is available, offering improved sampling efficiency especially in high-dimensional problems and/or where gradients are not available (see #3926)
  • Add Bayesian Additive Regression Trees (BARTs) #4183)
  • Added pymc3.gp.cov.Circular kernel for Gaussian Processes on circular domains, e.g. the unit circle (see #4082).
  • Added a new MixtureSameFamily distribution to handle mixtures of arbitrary dimensions in vectorized form for improved speed (see #4185).
  • sample_posterior_predictive_w can now feed on xarray.Dataset - e.g. from InferenceData.posterior. (see #4042)
  • Change SMC metropolis kernel to independent metropolis kernel #4115)
  • Add alternative parametrization to NegativeBinomial distribution in terms of n and p (see #4126)
  • Added semantically meaningful str representations to PyMC3 objects for console, notebook, and GraphViz use (see #4076, #4065, #4159, #4217, #4243, and #4260).
  • Add Discrete HyperGeometric Distribution (see #4249)

Maintenance

  • Switch the dependency of Theano to our own fork, Theano-PyMC.
  • Removed non-NDArray (Text, SQLite, HDF5) backends and associated tests.
  • Use dill to serialize user defined logp functions in DensityDist. The previous serialization code fails if it is used in notebooks on Windows and Mac. dill is now a required dependency. (see #3844).
  • Fixed numerical instability in ExGaussian's logp by preventing logpow from returning -inf (see #4050).
  • Numerically improved stickbreaking transformation - e.g. for the Dirichlet distribution. #4129
  • Enabled the Multinomial distribution to handle batch sizes that have more than 2 dimensions. #4169
  • Test model logp before starting any MCMC chains (see #4211)
  • Fix bug in model.check_test_point that caused the test_point argument to be ignored. (see PR #4211)
  • Refactored MvNormal.random method with better handling of sample, batch and event shapes. #4207
  • The InverseGamma distribution now implements a logcdf. #3944
  • Make starting jitter methods for nuts sampling more robust by resampling values that lead to non-finite probabilities. A new optional argument jitter-max-retries can be passed to pm.sample() and pm.init_nuts() to control the maximum number of retries per chain. 4298

Documentation

  • Added a new notebook demonstrating how to incorporate sampling from a conjugate Dirichlet-multinomial posterior density in conjunction with other step methods (see #4199).
  • Mentioned the way to do any random walk with theano.tensor.cumsum() in GaussianRandomWalk docstrings (see #4048).

Release manager for 3.10.0: Eelke Spaak (@Spaak)

PyMC3 3.9.3 (11 August 2020)

New features

  • Introduce optional arguments to pm.sample: mp_ctx to control how the processes for parallel sampling are started, and pickle_backend to specify which library is used to pickle models in parallel sampling when the multiprocessing context is not of type fork (see #3991).
  • Add sampler stats process_time_diff, perf_counter_diff and perf_counter_start, that record wall and CPU times for each NUTS and HMC sample (see #3986).
  • Extend keep_size argument handling for sample_posterior_predictive and fast_sample_posterior_predictive, to work on ArviZ InferenceData and xarray Dataset input values (see PR #4006 and issue #4004).
  • SMC-ABC: add the Wasserstein and energy distance functions. Refactor API, the distance, sum_stats and epsilon arguments are now passed pm.Simulator instead of pm.sample_smc. Add random method to pm.Simulator. Add option to save the simulated data. Improved LaTeX representation #3996.
  • SMC-ABC: Allow use of potentials by adding them to the prior term. #4016.

Maintenance

  • Fix an error on Windows and Mac where error message from unpickling models did not show up in the notebook, or where sampling froze when a worker process crashed (see #3991).
  • Require Theano >= 1.0.5 (see #4032).

Documentation

  • Notebook on multilevel modeling has been rewritten to showcase ArviZ and xarray usage for inference result analysis (see #3963).

NB: The docs/* folder is still removed from the tarball due to an upload size limit on PyPi.

Release manager for 3.9.3: Kyle Beauchamp (@kyleabeauchamp)

PyMC3 3.9.2 (24 June 2020)

Maintenance

  • Warning added in GP module when input_dim is lower than the number of columns in X to compute the covariance function (see #3974).
  • Pass the tune argument from sample when using advi+adapt_diag_grad (see issue #3965, fixed by #3979).
  • Add simple test case for new coords and dims feature in pm.Model (see #3977).
  • Require ArviZ >= 0.9.0 (see #3977).
  • Fixed issue #3962 by making a change in the _random() method of GaussianRandomWalk class (see PR #3985). Further testing revealed a new issue which is being tracked by #4010.

NB: The docs/* folder is still removed from the tarball due to an upload size limit on PyPi.

Release manager for 3.9.2: Alex Andorra (@AlexAndorra)

PyMC3 3.9.1 (16 June 2020)

The v3.9.0 upload to PyPI didn't include a tarball, which is fixed in this release. Though we had to temporarily remove the docs/* folder from the tarball due to a size limit.

Release manager for 3.9.1: Michael Osthege (@michaelosthege)

PyMC3 3.9.0 (16 June 2020)

New features

  • Use fastprogress instead of tqdm #3693.
  • DEMetropolis can now tune both lambda and scaling parameters, but by default neither of them are tuned. See #3743 for more info.
  • DEMetropolisZ, an improved variant of DEMetropolis brings better parallelization and higher efficiency with fewer chains with a slower initial convergence. This implementation is experimental. See #3784 for more info.
  • Notebooks that give insight into DEMetropolis, DEMetropolisZ and the DifferentialEquation interface are now located in the Tutorials/Deep Dive section.
  • Add fast_sample_posterior_predictive, a vectorized alternative to sample_posterior_predictive. This alternative is substantially faster for large models.
  • GP covariance functions can now be exponentiated by a scalar. See PR #3852
  • sample_posterior_predictive can now feed on xarray.Dataset - e.g. from InferenceData.posterior. (see #3846)
  • SamplerReport (MultiTrace.report) now has properties n_tune, n_draws, t_sampling for increased convenience (see #3827)
  • pm.sample(..., return_inferencedata=True) can now directly return the trace as arviz.InferenceData (see #3911)
  • pm.sample now has support for adapting dense mass matrix using QuadPotentialFullAdapt (see #3596, #3705, #3858, and #3893). Use init="adapt_full" or init="jitter+adapt_full" to use.
  • Moyal distribution added (see #3870).
  • pm.LKJCholeskyCov now automatically computes and returns the unpacked Cholesky decomposition, the correlations and the standard deviations of the covariance matrix (see #3881).
  • pm.Data container can now be used for index variables, i.e with integer data and not only floats (issue #3813, fixed by #3925).
  • pm.Data container can now be used as input for other random variables (issue #3842, fixed by #3925).
  • Allow users to specify coordinates and dimension names instead of numerical shapes when specifying a model. This makes interoperability with ArviZ easier. (see #3551)
  • Plots and Stats API sections now link to ArviZ documentation #3927
  • Add SamplerReport with properties n_draws, t_sampling and n_tune to SMC. n_tune is always 0 #3931.
  • SMC-ABC: add option to define summary statistics, allow to sample from more complex models, remove redundant distances #3940

Maintenance

  • Tuning results no longer leak into sequentially sampled Metropolis chains (see #3733 and #3796).
  • We'll deprecate the Text and SQLite backends and the save_trace/load_trace functions, since this is now done with ArviZ. (see #3902)
  • ArviZ v0.8.3 is now the minimum required version
  • In named models, pm.Data objects now get model-relative names (see #3843).
  • pm.sample now takes 1000 draws and 1000 tuning samples by default, instead of 500 previously (see #3855).
  • Moved argument division out of NegativeBinomial random method. Fixes #3864 in the style of #3509.
  • The Dirichlet distribution now raises a ValueError when it's initialized with <= 0 values (see #3853).
  • Dtype bugfix in MvNormal and MvStudentT (see 3836).
  • End of sampling report now uses arviz.InferenceData internally and avoids storing pointwise log likelihood (see #3883).
  • The multiprocessing start method on MacOS is now set to "forkserver", to avoid crashes (see issue #3849, solved by #3919).
  • The AR1 logp now uses the precision of the whole AR1 process instead of just the innovation precision (see issue #3892, fixed by #3899).
  • Forced the Beta distribution's random method to generate samples that are in the open interval $(0, 1)$, i.e. no value can be equal to zero or equal to one (issue #3898 fixed by #3924).
  • Fixed an issue that happened on Windows, that was introduced by the clipped beta distribution rvs function (#3924). Windows does not support the float128 dtype, but we had assumed that it had to be available. The solution was to only support float128 on Linux and Darwin systems (see issue #3929 fixed by #3930).

Deprecations

  • Remove sample_ppc and sample_ppc_w that were deprecated in 3.6.
  • Deprecated sd has been replaced by sigma (already in version 3.7) in continuous, mixed and timeseries distributions and now raises DeprecationWarning when sd is used. (see #3837 and #3688).
  • We'll deprecate the Text and SQLite backends and the save_trace/load_trace functions, since this is now done with ArviZ. (see #3902)
  • Dropped some deprecated kwargs and functions (see #3906)
  • Dropped the outdated 'nuts' initialization method for pm.sample (see #3863).

Release manager for 3.9.0: Michael Osthege (@michaelosthege)

PyMC3 3.8 (November 29 2019)

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).
  • Refactored pymc3.model.get_named_nodes_and_relations to use the ancestors and descendents, in a way that is consistent with theano's naming convention.
  • Changed the way in which pymc3.model.get_named_nodes_and_relations computes nodes without ancestors to make it robust to changes in var_name orderings (issue #3643)

PyMC3 3.7 (May 29 2019)

New features

  • Add data container class (Data) that wraps the theano SharedVariable class and let the model be aware of its inputs and outputs.
  • Add function set_data to update variables defined as Data.
  • Mixture now supports mixtures of multidimensional probability distributions, not just lists of 1D distributions.
  • GLM.from_formula and LinearComponent.from_formula can extract variables from the calling scope. Customizable via the new eval_env argument. Fixing #3382.
  • Added the distributions.shape_utils module with functions used to help broadcast samples drawn from distributions using the size keyword argument.
  • Used numpy.vectorize in distributions.distribution._compile_theano_function. This enables sample_prior_predictive and sample_posterior_predictive to ask for tuples of samples instead of just integers. This fixes issue #3422.

Maintenance

  • All occurances of sd as a parameter name have been renamed to sigma. sd will continue to function for backwards compatibility.
  • HamiltonianMC was ignoring certain arguments like target_accept, and not using the custom step size jitter function with expectation 1.
  • Made BrokenPipeError for parallel sampling more verbose on Windows.
  • Added the broadcast_distribution_samples function that helps broadcasting arrays of drawn samples, taking into account the requested size and the inferred distribution shape. This sometimes is needed by distributions that call several rvs separately within their random method, such as the ZeroInflatedPoisson (fixes issue #3310).
  • The Wald, Kumaraswamy, LogNormal, Pareto, Cauchy, HalfCauchy, Weibull and ExGaussian distributions random method used a hidden _random function that was written with scalars in mind. This could potentially lead to artificial correlations between random draws. Added shape guards and broadcasting of the distribution samples to prevent this (Similar to issue #3310).
  • Added a fix to allow the imputation of single missing values of observed data, which previously would fail (fixes issue #3122).
  • The draw_values function was too permissive with what could be grabbed from inside point, which lead to an error when sampling posterior predictives of variables that depended on shared variables that had changed their shape after pm.sample() had been called (fix issue #3346).
  • draw_values now adds the theano graph descendants of TensorConstant or SharedVariables to the named relationship nodes stack, only if these descendants are ObservedRV or MultiObservedRV instances (fixes issue #3354).
  • Fixed bug in broadcast_distrution_samples, which did not handle correctly cases in which some samples did not have the size tuple prepended.
  • Changed MvNormal.random's usage of tensordot for Cholesky encoded covariances. This lead to wrong axis broadcasting and seemed to be the cause for issue #3343.
  • Fixed defect in Mixture.random when multidimensional mixtures were involved. The mixture component was not preserved across all the elements of the dimensions of the mixture. This meant that the correlations across elements within a given draw of the mixture were partly broken.
  • Restructured Mixture.random to allow better use of vectorized calls to comp_dists.random.
  • Added tests for mixtures of multidimensional distributions to the test suite.
  • Fixed incorrect usage of broadcast_distribution_samples in DiscreteWeibull.
  • Mixture's default dtype is now determined by theano.config.floatX.
  • dist_math.random_choice now handles nd-arrays of category probabilities, and also handles sizes that are not None. Also removed unused k kwarg from dist_math.random_choice.
  • Changed Categorical.mode to preserve all the dimensions of p except the last one, which encodes each category's probability.
  • Changed initialization of Categorical.p. p is now normalized to sum to 1 inside logp and random, but not during initialization. This could hide negative values supplied to p as mentioned in #2082.
  • Categorical now accepts elements of p equal to 0. logp will return -inf if there are values that index to the zero probability categories.
  • Add sigma, tau, and sd to signature of NormalMixture.
  • Set default lower and upper values of -inf and inf for pm.distributions.continuous.TruncatedNormal. This avoids errors caused by their previous values of None (fixes issue #3248).
  • Converted all calls to pm.distributions.bound._ContinuousBounded and pm.distributions.bound._DiscreteBounded to use only and all positional arguments (fixes issue #3399).
  • Restructured distributions.distribution.generate_samples to use the shape_utils module. This solves issues #3421 and #3147 by using the size aware broadcating functions in shape_utils.
  • Fixed the Multinomial.random and Multinomial.random_ methods to make them compatible with the new generate_samples function. In the process, a bug of the Multinomial.random_ shape handling was discovered and fixed.
  • Fixed a defect found in Bound.random where the point dictionary was passed to generate_samples as an arg instead of in not_broadcast_kwargs.
  • Fixed a defect found in Bound.random_ where total_size could end up as a float64 instead of being an integer if given size=tuple().
  • Fixed an issue in model_graph that caused construction of the graph of the model for rendering to hang: replaced a search over the powerset of the nodes with a breadth-first search over the nodes. Fix for #3458.
  • Removed variable annotations from model_graph but left type hints (Fix for #3465). This means that we support python>=3.5.4.
  • Default target_acceptfor HamiltonianMC is now 0.65, as suggested in Beskos et. al. 2010 and Neal 2001.
  • Fixed bug in draw_values that lead to intermittent errors in python3.5. This happened with some deterministic nodes that were drawn but not added to givens.

Deprecations

  • nuts_kwargs and step_kwargs have been deprecated in favor of using the standard kwargs to pass optional step method arguments.
  • SGFS and CSG have been removed (Fix for #3353). They have been moved to pymc3-experimental.
  • References to live_plot and corresponding notebooks have been removed.
  • Function approx_hessian was removed, due to numdifftools becoming incompatible with current scipy. The function was already optional, only available to a user who installed numdifftools separately, and not hit on any common codepaths. #3485.
  • Deprecated vars parameter of sample_posterior_predictive in favor of varnames.
  • References to live_plot and corresponding notebooks have been removed.
  • Deprecated vars parameters of sample_posterior_predictive and sample_prior_predictive in favor of var_names. At least for the latter, this is more accurate, since the vars parameter actually took names.

Contributors sorted by number of commits

45  Luciano Paz
38  Thomas Wiecki
23  Colin Carroll
19  Junpeng Lao
15  Chris Fonnesbeck
13  Juan Martín Loyola
13  Ravin Kumar
 8  Robert P. Goldman
 5  Tim Blazina
 4  chang111
 4  adamboche
 3  Eric Ma
 3  Osvaldo Martin
 3  Sanmitra Ghosh
 3  Saurav Shekhar
 3  chartl
 3  fredcallaway
 3  Demetri
 2  Daisuke Kondo
 2  David Brochart
 2  George Ho
 2  Vaibhav Sinha
 1  rpgoldman
 1  Adel Tomilova
 1  Adriaan van der Graaf
 1  Bas Nijholt
 1  Benjamin Wild
 1  Brigitta Sipocz
 1  Daniel Emaasit
 1  Hari
 1  Jeroen
 1  Joseph Willard
 1  Juan Martin Loyola
 1  Katrin Leinweber
 1  Lisa Martin
 1  M. Domenzain
 1  Matt Pitkin
 1  Peadar Coyle
 1  Rupal Sharma
 1  Tom Gilliss
 1  changjiangeng
 1  michaelosthege
 1  monsta
 1  579397

PyMC3 3.6 (Dec 21 2018)

This will be the last release to support Python 2.

New features

  • Track the model log-likelihood as a sampler stat for NUTS and HMC samplers (accessible as trace.get_sampler_stats('model_logp')) (#3134)
  • Add Incomplete Beta function incomplete_beta(a, b, value)
  • Add log CDF functions to continuous distributions: Beta, Cauchy, ExGaussian, Exponential, Flat, Gumbel, HalfCauchy, HalfFlat, HalfNormal, Laplace, Logistic, Lognormal, Normal, Pareto, StudentT, Triangular, Uniform, Wald, Weibull.
  • Behavior of sample_posterior_predictive is now to produce posterior predictive samples, in order, from all values of the trace. Previously, by default it would produce 1 chain worth of samples, using a random selection from the trace (#3212)
  • Show diagnostics for initial energy errors in HMC and NUTS.
  • PR #3273 has added the distributions.distribution._DrawValuesContext context manager. This is used to store the values already drawn in nested random and draw_values calls, enabling draw_values to draw samples from the joint probability distribution of RVs and not the marginals. Custom distributions that must call draw_values several times in their random method, or that invoke many calls to other distribution's random methods (e.g. mixtures) must do all of these calls under the same _DrawValuesContext context manager instance. If they do not, the conditional relations between the distribution's parameters could be broken, and random could return values drawn from an incorrect distribution.
  • Rice distribution is now defined with either the noncentrality parameter or the shape parameter (#3287).

Maintenance

  • Big rewrite of documentation (#3275)
  • Fixed Triangular distribution c attribute handling in random and updated sample codes for consistency (#3225)
  • Refactor SMC and properly compute marginal likelihood (#3124)
  • Removed use of deprecated ymin keyword in matplotlib's Axes.set_ylim (#3279)
  • Fix for #3210. Now distribution.draw_values(params), will draw the params values from their joint probability distribution and not from combinations of their marginals (Refer to PR #3273).
  • Removed dependence on pandas-datareader for retrieving Yahoo Finance data in examples (#3262)
  • Rewrote Multinomial._random method to better handle shape broadcasting (#3271)
  • Fixed Rice distribution, which inconsistently mixed two parametrizations (#3286).
  • Rice distribution now accepts multiple parameters and observations and is usable with NUTS (#3289).
  • sample_posterior_predictive no longer calls draw_values to initialize the shape of the ppc trace. This called could lead to ValueError's when sampling the ppc from a model with Flat or HalfFlat prior distributions (Fix issue #3294).
  • Added explicit conversion to floatX and int32 for the continuous and discrete probability distribution parameters (addresses issue #3223).

Deprecations

  • Renamed sample_ppc() and sample_ppc_w() to sample_posterior_predictive() and sample_posterior_predictive_w(), respectively.

PyMC 3.5 (July 21 2018)

New features

  • Add documentation section on survival analysis and censored data models
  • Add check_test_point method to pm.Model
  • Add Ordered Transformation and OrderedLogistic distribution
  • Add Chain transformation
  • Improve error message Mass matrix contains zeros on the diagonal. Some derivatives might always be zero during tuning of pm.sample
  • Improve error message NaN occurred in optimization. during ADVI
  • Save and load traces without pickle using pm.save_trace and pm.load_trace
  • Add Kumaraswamy distribution
  • Add TruncatedNormal distribution
  • Rewrite parallel sampling of multiple chains on py3. This resolves long standing issues when transferring large traces to the main process, avoids pickling issues on UNIX, and allows us to show a progress bar for all chains. If parallel sampling is interrupted, we now return partial results.
  • Add sample_prior_predictive which allows for efficient sampling from the unconditioned model.
  • SMC: remove experimental warning, allow sampling using sample, reduce autocorrelation from final trace.
  • Add model_to_graphviz (which uses the optional dependency graphviz) to plot a directed graph of a PyMC3 model using plate notation.
  • Add beta-ELBO variational inference as in beta-VAE model (Christopher P. Burgess et al. NIPS, 2017)
  • Add __dir__ to SingleGroupApproximation to improve autocompletion in interactive environments

Fixes

  • Fixed grammar in divergence warning, previously There were 1 divergences ... could be raised.
  • Fixed KeyError raised when only subset of variables are specified to be recorded in the trace.
  • Removed unused repeat=None arguments from all random() methods in distributions.
  • Deprecated the sigma argument in MarginalSparse.marginal_likelihood in favor of noise
  • Fixed unexpected behavior in random. Now the random functionality is more robust and will work better for sample_prior when that is implemented.
  • Fixed scale_cost_to_minibatch behaviour, previously this was not working and always False

PyMC 3.4.1 (April 18 2018)

New features

  • Add logit_p keyword to pm.Bernoulli, so that users can specify the logit of the success probability. This is faster and more stable than using p=tt.nnet.sigmoid(logit_p).
  • Add random keyword to pm.DensityDist thus enabling users to pass custom random method which in turn makes sampling from a DensityDist possible.
  • Effective sample size computation is updated. The estimation uses Geyer's initial positive sequence, which no longer truncates the autocorrelation series inaccurately. pm.diagnostics.effective_n now can reports N_eff>N.
  • Added KroneckerNormal distribution and a corresponding MarginalKron Gaussian Process implementation for efficient inference, along with lower-level functions such as cartesian and kronecker products.
  • Added Coregion covariance function.
  • Add new 'pairplot' function, for plotting scatter or hexbin matrices of sampled parameters. Optionally it can plot divergences.
  • Plots of discrete distributions in the docstrings
  • Add logitnormal distribution
  • Densityplot: add support for discrete variables
  • Fix the Binomial likelihood in .glm.families.Binomial, with the flexibility of specifying the n.
  • Add offset kwarg to .glm.
  • Changed the compare function to accept a dictionary of model-trace pairs instead of two separate lists of models and traces.
  • add test and support for creating multivariate mixture and mixture of mixtures
  • distribution.draw_values, now is also able to draw values from conditionally dependent RVs, such as autotransformed RVs (Refer to PR #2902).

Fixes

  • VonMises does not overflow for large values of kappa. i0 and i1 have been removed and we now use log_i0 to compute the logp.
  • The bandwidth for KDE plots is computed using a modified version of Scott's rule. The new version uses entropy instead of standard deviation. This works better for multimodal distributions. Functions using KDE plots has a new argument bw controlling the bandwidth.
  • fix PyMC3 variable is not replaced if provided in more_replacements (#2890)
  • Fix for issue #2900. For many situations, named node-inputs do not have a random method, while some intermediate node may have it. This meant that if the named node-input at the leaf of the graph did not have a fixed value, theano would try to compile it and fail to find inputs, raising a theano.gof.fg.MissingInputError. This was fixed by going through the theano variable's owner inputs graph, trying to get intermediate named-nodes values if the leafs had failed.
  • In distribution.draw_values, some named nodes could be theano.tensor.TensorConstants or theano.tensor.sharedvar.SharedVariables. Nevertheless, in distribution._draw_value, these would be passed to distribution._compile_theano_function as if they were theano.tensor.TensorVariables. This could lead to the following exceptions TypeError: ('Constants not allowed in param list', ...) or TypeError: Cannot use a shared variable (...). The fix was to not add theano.tensor.TensorConstant or theano.tensor.sharedvar.SharedVariable named nodes into the givens dict that could be used in distribution._compile_theano_function.
  • Exponential support changed to include zero values.

Deprecations

  • DIC and BPIC calculations have been removed
  • df_summary have been removed, use summary instead
  • njobs and nchains kwarg are deprecated in favor of cores and chains for sample
  • lag kwarg in pm.stats.autocorr and pm.stats.autocov is deprecated.

PyMC 3.3 (January 9, 2018)

New features

  • Improve NUTS initialization advi+adapt_diag_grad and add jitter+adapt_diag_grad (#2643)
  • Added MatrixNormal class for representing vectors of multivariate normal variables
  • Implemented HalfStudentT distribution
  • New benchmark suite added (see http://pandas.pydata.org/speed/pymc3/)
  • Generalized random seed types
  • Update loo, new improved algorithm (#2730)
  • New CSG (Constant Stochastic Gradient) approximate posterior sampling algorithm (#2544)
  • Michael Osthege added support for population-samplers and implemented differential evolution metropolis (DEMetropolis). For models with correlated dimensions that can not use gradient-based samplers, the DEMetropolis sampler can give higher effective sampling rates. (also see PR#2735)
  • Forestplot supports multiple traces (#2736)
  • Add new plot, densityplot (#2741)
  • DIC and BPIC calculations have been deprecated
  • Refactor HMC and implemented new warning system (#2677, #2808)

Fixes

  • Fixed compareplot to use loo output.
  • Improved posteriorplot to scale fonts
  • sample_ppc_w now broadcasts
  • df_summary function renamed to summary
  • Add test for model.logp_array and model.bijection (#2724)
  • Fixed sample_ppc and sample_ppc_w to iterate all chains(#2633, #2748)
  • Add Bayesian R2 score (for GLMs) stats.r2_score (#2696) and test (#2729).
  • SMC works with transformed variables (#2755)
  • Speedup OPVI (#2759)
  • Multiple minor fixes and improvements in the docs (#2775, #2786, #2787, #2789, #2790, #2794, #2799, #2809)

Deprecations

  • Old (minibatch-)advi is removed (#2781)

PyMC3 3.2 (October 10, 2017)

New features

This version includes two major contributions from our Google Summer of Code 2017 students:

  • Maxim Kochurov extended and refactored the variational inference module. This primarily adds two important classes, representing operator variational inference (OPVI) objects and Approximation objects. These make it easier to extend existing variational classes, and to derive inference from variational optimizations, respectively. The variational module now also includes normalizing flows (NFVI).
  • Bill Engels added an extensive new Gaussian processes (gp) module. Standard GPs can be specified using either Latent or Marginal classes, depending on the nature of the underlying function. A Student-T process TP has been added. In order to accomodate larger datasets, approximate marginal Gaussian processes (MarginalSparse) have been added.

Documentation has been improved as the result of the project's monthly "docathons".

An experimental stochastic gradient Fisher scoring (SGFS) sampling step method has been added.

The API for find_MAP was enhanced.

SMC now estimates the marginal likelihood.

Added Logistic and HalfFlat distributions to set of continuous distributions.

Bayesian fraction of missing information (bfmi) function added to stats.

Enhancements to compareplot added.

QuadPotential adaptation has been implemented.

Script added to build and deploy documentation.

MAP estimates now available for transformed and non-transformed variables.

The Constant variable class has been deprecated, and will be removed in 3.3.

DIC and BPIC calculations have been sped up.

Arrays are now accepted as arguments for the Bound class.

random method was added to the Wishart and LKJCorr distributions.

Progress bars have been added to LOO and WAIC calculations.

All example notebooks updated to reflect changes in API since 3.1.

Parts of the test suite have been refactored.

Fixes

Fixed sampler stats error in NUTS for non-RAM backends

Matplotlib is no longer a hard dependency, making it easier to use in settings where installing Matplotlib is problematic. PyMC will only complain if plotting is attempted.

Several bugs in the Gaussian process covariance were fixed.

All chains are now used to calculate WAIC and LOO.

AR(1) log-likelihood function has been fixed.

Slice sampler fixed to sample from 1D conditionals.

Several docstring fixes.

Contributors

The following people contributed to this release (ordered by number of commits):

Maxim Kochurov maxim.v.kochurov@gmail.com Bill Engels w.j.engels@gmail.com Chris Fonnesbeck chris.fonnesbeck@vanderbilt.edu Junpeng Lao junpeng.lao@unifr.ch Adrian Seyboldt adrian.seyboldt@gmail.com AustinRochford arochford@monetate.com Osvaldo Martin aloctavodia@gmail.com Colin Carroll colcarroll@gmail.com Hannes Vasyura-Bathke hannes.bathke@gmx.net Thomas Wiecki thomas.wiecki@gmail.com michaelosthege thecakedev@hotmail.com Marco De Nadai me@marcodena.it Kyle Beauchamp kyleabeauchamp@gmail.com Massimo mcavallaro@users.noreply.github.com ctm22396 ctm22396@gmail.com Max Horn maexlich@gmail.com Hennadii Madan madanh2014@gmail.com Hassan Naseri h.nasseri@gmail.com Peadar Coyle peadarcoyle@googlemail.com Saurav R. Tuladhar saurav@fastmail.com Shashank Shekhar shashank.f1@gmail.com Eric Ma ericmjl@users.noreply.github.com Ed Herbst ed.herbst@gmail.com tsdlovell dlovell@twosigma.com zaxtax zaxtax@users.noreply.github.com Dan Nichol daniel.nichol@univ.ox.ac.uk Benjamin Yetton bdyetton@gmail.com jackhansom jack.hansom@outlook.com Jack Tsai jacksctsai@gmail.com Andrés Asensio Ramos aasensioramos@gmail.com

PyMC3 3.1 (June 23, 2017)

New features

Fixes

  • Bound now works for discrete distributions as well.

  • Random sampling now returns the correct shape even for higher dimensional RVs.

  • Use theano Psi and GammaLn functions to enable GPU support for them.

PyMC3 3.0 (January 9, 2017)

We are proud and excited to release the first stable version of PyMC3, the product of more than 5 years of ongoing development and contributions from over 80 individuals. PyMC3 is a Python module for Bayesian modeling which focuses on modern Bayesian computational methods, primarily gradient-based (Hamiltonian) MCMC sampling and variational inference. Models are specified in Python, which allows for great flexibility. The main technological difference in PyMC3 relative to previous versions is the reliance on Theano for the computational backend, rather than on Fortran extensions.

New features

Since the beta release last year, the following improvements have been implemented:

  • Added variational submodule, which features the automatic differentiation variational inference (ADVI) fitting method. Also supports mini-batch ADVI for large data sets. Much of this work was due to the efforts of Taku Yoshioka, and important guidance was provided by the Stan team (specifically Alp Kucukelbir and Daniel Lee).

  • Added model checking utility functions, including leave-one-out (LOO) cross-validation, BPIC, WAIC, and DIC.

  • Implemented posterior predictive sampling (sample_ppc).

  • Implemented auto-assignment of step methods by sample function.

  • Enhanced IPython Notebook examples, featuring more complete narratives accompanying code.

  • Extensive debugging of NUTS sampler.

  • Updated documentation to reflect changes in code since beta.

  • Refactored test suite for better efficiency.

  • Added von Mises, zero-inflated negative binomial, and Lewandowski, Kurowicka and Joe (LKJ) distributions.

  • Adopted joblib for managing parallel computation of chains.

  • Added contributor guidelines, contributor code of conduct and governance document.

Deprecations

  • Argument order of tau and sd was switched for distributions of the normal family:
  • Normal()
  • Lognormal()
  • HalfNormal()

Old: Normal(name, mu, tau) New: Normal(name, mu, sd) (supplying keyword arguments is unaffected).

  • MvNormal calling signature changed: Old: MvNormal(name, mu, tau) New: MvNormal(name, mu, cov) (supplying keyword arguments is unaffected).

We on the PyMC3 core team would like to thank everyone for contributing and now feel that this is ready for the big time. We look forward to hearing about all the cool stuff you use PyMC3 for, and look forward to continued development on the package.

Contributors

The following authors contributed to this release:

Chris Fonnesbeck chris.fonnesbeck@vanderbilt.edu John Salvatier jsalvatier@gmail.com Thomas Wiecki thomas.wiecki@gmail.com Colin Carroll colcarroll@gmail.com Maxim Kochurov maxim.v.kochurov@gmail.com Taku Yoshioka taku.yoshioka.4096@gmail.com Peadar Coyle (springcoil) peadarcoyle@googlemail.com Austin Rochford arochford@monetate.com Osvaldo Martin aloctavodia@gmail.com Shashank Shekhar shashank.f1@gmail.com

In addition, the following community members contributed to this release:

A Kuz for.akuz@gmail.com A. Flaxman abie@alum.mit.edu Abraham Flaxman abie@alum.mit.edu Alexey Goldin alexey.goldin@gmail.com Anand Patil anand.prabhakar.patil@gmail.com Andrea Zonca code@andreazonca.com Andreas Klostermann andreasklostermann@googlemail.com Andres Asensio Ramos Andrew Clegg andrew.clegg@pearson.com Anjum48 Benjamin Edwards bedwards@cs.unm.edu Boris Avdeev borisaqua@gmail.com Brian Naughton briannaughton@gmail.com Byron Smith Chad Heyne chadheyne@gmail.com Corey Farwell coreyf@rwell.org David Huard david.huard@gmail.com David Stück dstuck@users.noreply.github.com DeliciousHair mshepit@gmail.com Dustin Tran Eigenblutwurst Hannes.Bathke@gmx.net Gideon Wulfsohn gideon.wulfsohn@gmail.com Gil Raphaelli g@raphaelli.com Gogs gogitservice@gmail.com Ilan Man Imri Sofer imrisofer@gmail.com Jake Biesinger jake.biesinger@gmail.com James Webber jamestwebber@gmail.com John McDonnell john.v.mcdonnell@gmail.com Jon Sedar jon.sedar@applied.ai Jordi Diaz Jordi Warmenhoven jordi.warmenhoven@gmail.com Karlson Pfannschmidt kiudee@mail.uni-paderborn.de Kyle Bishop citizenphnix@gmail.com Kyle Meyer kyle@kyleam.com Lin Xiao Mack Sweeney mackenzie.sweeney@gmail.com Matthew Emmett memmett@unc.edu Michael Gallaspy gallaspy.michael@gmail.com Nick nalourie@example.com Osvaldo Martin aloctavodia@gmail.com Patricio Benavente patbenavente@gmail.com Raymond Roberts Rodrigo Benenson rodrigo.benenson@gmail.com Sergei Lebedev superbobry@gmail.com Skipper Seabold chris.fonnesbeck@vanderbilt.edu Thomas Kluyver takowl@gmail.com Tobias Knuth mail@tobiasknuth.de Volodymyr Kazantsev Wes McKinney wesmckinn@gmail.com Zach Ploskey zploskey@gmail.com akuz for.akuz@gmail.com brandon willard brandonwillard@gmail.com dstuck dstuck88@gmail.com ingmarschuster ingmar.schuster.linguistics@gmail.com jan-matthis mail@jan-matthis.de jason JasonTam22@gmailcom kiudee quietdeath@gmail.com maahnman github@mm.maahn.de macgyver neil.rabinowitz@merton.ox.ac.uk mwibrow mwibrow@gmail.com olafSmits o.smits@gmail.com paul sorenson paul@metrak.com redst4r redst4r@web.de santon steven.anton@idanalytics.com sgenoud stevegenoud+github@gmail.com stonebig Tal Yarkoni tyarkoni@gmail.com x2apps x2apps@yahoo.com zenourn daniel@zeno.co.nz

PyMC3 3.0b (June 16th, 2015)

Probabilistic programming allows for flexible specification of Bayesian statistical models in code. PyMC3 is a new, open-source probabilistic programmer framework with an intuitive, readable and concise, yet powerful, syntax that is close to the natural notation statisticians use to describe models. It features next-generation fitting techniques, such as the No U-Turn Sampler, that allow fitting complex models with thousands of parameters without specialized knowledge of fitting algorithms.

PyMC3 has recently seen rapid development. With the addition of two new major features: automatic transforms and missing value imputation, PyMC3 has become ready for wider use. PyMC3 is now refined enough that adding features is easy, so we don't expect adding features in the future will require drastic changes. It has also become user friendly enough for a broader audience. Automatic transformations mean NUTS and find_MAP work with less effort, and friendly error messages mean its easy to diagnose problems with your model.

Thus, Thomas, Chris and I are pleased to announce that PyMC3 is now in Beta.

Highlights

  • Transforms now automatically applied to constrained distributions
  • Transforms now specified with a transform= argument on Distributions. model.TransformedVar is gone.
  • Transparent missing value imputation support added with MaskedArrays or pandas.DataFrame NaNs.
  • Bad default values now ignored
  • Profile theano functions using model.profile(model.logpt)

Contributors since 3.0a