Using pymc3 / posterior probability outside of pymc3: how?
For comparison, I want to use the back density function outside of PyMC3.
In my research project, I want to know how well PyMC3 performs compared to my own code. So I need to compare it with my own probes and likelihood functions.
I think I figured out how to call the inner PyMC3 from behind, but it feels very awkward and I want to know if there is a better way. Right now I am converting the variables manually, whereas I should just pass the parameter dictionary to pymc and get the back density. Is this possible straightforwardly?
Thank you so much!
Demo code:
import numpy as np
import pymc3 as pm
import scipy.stats as st
# Simple data, with sigma = 4. We want to estimate sigma
sigma_inject = 4.0
data = np.random.randn(10) * sigma_inject
# Prior interval for sigma
a, b = 0.0, 20.0
# Build PyMC model
with pm.Model() as model:
sigma = pm.Uniform('sigma', a, b) # Prior uniform between 0.0 and 20.0
likelihood = pm.Normal('data', 0.0, sd=sigma, observed=data)
# Write my own likelihood
def logpost_self(sig, data):
loglik = np.sum(st.norm(loc=0.0, scale=sig).logpdf(data)) # Gaussian
logpr = np.log(1.0 / (b-a)) # Uniform prior
return loglik + logpr
# Utilize PyMC likelihood (Have to hand-transform parameters)
def logpost_pymc(sig, model):
sigma_interval = np.log((sig - a) / (b - sig)) # Parameter transformation
ldrdx = np.log(1.0/(sig-a) + 1.0/(b-sig)) # Jacobian
return model.logp({'sigma_interval':sigma_interval}) + ldrdx
print("Own posterior: {0}".format(logpost_self(1.0, data)))
print("PyMC3 posterior: {0}".format(logpost_pymc(1.0, model)))
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