# Copyright 2024 The PyMC Developers
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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"""Functions for prior and posterior predictive sampling."""
import logging
import warnings
from collections.abc import Callable, Iterable, Sequence
from typing import (
Any,
TypeAlias,
cast,
)
import numpy as np
import xarray
from arviz import InferenceData
from pytensor import tensor as pt
from pytensor.graph.basic import (
Apply,
Constant,
Variable,
ancestors,
general_toposort,
walk,
)
from pytensor.graph.fg import FunctionGraph
from pytensor.tensor.random.var import (
RandomGeneratorSharedVariable,
RandomStateSharedVariable,
)
from pytensor.tensor.sharedvar import SharedVariable
from rich.console import Console
from rich.progress import Progress
from rich.theme import Theme
import pymc as pm
from pymc.backends.arviz import _DefaultTrace, dataset_to_point_list
from pymc.backends.base import MultiTrace
from pymc.blocking import PointType
from pymc.model import Model, modelcontext
from pymc.pytensorf import compile_pymc
from pymc.util import (
RandomState,
_get_seeds_per_chain,
default_progress_theme,
get_default_varnames,
point_wrapper,
)
__all__ = (
"compile_forward_sampling_function",
"draw",
"sample_prior_predictive",
"sample_posterior_predictive",
)
ArrayLike: TypeAlias = np.ndarray | list[float]
PointList: TypeAlias = list[PointType]
_log = logging.getLogger(__name__)
def get_vars_in_point_list(trace, model):
"""Get the list of Variable instances in the model that have values stored in the trace."""
if not isinstance(trace, MultiTrace):
names_in_trace = list(trace[0])
else:
names_in_trace = trace.varnames
traceable_varnames = {var.name for var in (model.free_RVs + model.deterministics)}
vars_in_trace = [model[v] for v in names_in_trace if v in traceable_varnames]
return vars_in_trace
def compile_forward_sampling_function(
outputs: list[Variable],
vars_in_trace: list[Variable],
basic_rvs: list[Variable] | None = None,
givens_dict: dict[Variable, Any] | None = None,
constant_data: dict[str, np.ndarray] | None = None,
constant_coords: set[str] | None = None,
**kwargs,
) -> tuple[Callable[..., np.ndarray | list[np.ndarray]], set[Variable]]:
"""Compile a function to draw samples, conditioned on the values of some variables.
The goal of this function is to walk the pytensor computational graph from the list
of output nodes down to the root nodes, and then compile a function that will produce
values for these output nodes. The compiled function will take as inputs the subset of
variables in the ``vars_in_trace`` that are deemed to not be **volatile**.
Volatile variables are variables whose values could change between runs of the
compiled function or after inference has been run. These variables are:
- Variables in the outputs list
- ``SharedVariable`` instances that are not ``RandomStateSharedVariable`` or ``RandomGeneratorSharedVariable``, and whose values changed with respect to what they were at inference time
- Variables that are in the `basic_rvs` list but not in the ``vars_in_trace`` list
- Variables that are keys in the ``givens_dict``
- Variables that have volatile inputs
Concretely, this function can be used to compile a function to sample from the
posterior predictive distribution of a model that has variables that are conditioned
on ``Data`` instances. The variables that depend on the mutable data that have changed
will be considered volatile, and as such, they wont be included as inputs into the compiled
function. This means that if they have values stored in the posterior, these values will be
ignored and new values will be computed (in the case of deterministics and potentials) or
sampled (in the case of random variables).
This function also enables a way to impute values for any variable in the computational
graph that produces the desired outputs: the ``givens_dict``. This dictionary can be used
to set the ``givens`` argument of the pytensor function compilation. This will essentially
replace a node in the computational graph with any other expression that has the same
type as the desired node. Passing variables in the givens_dict is considered an intervention
that might lead to different variable values from those that could have been seen during
inference, as such, **any variable that is passed in the ``givens_dict`` will be considered
volatile**.
Parameters
----------
outputs : List[pytensor.graph.basic.Variable]
The list of variables that will be returned by the compiled function
vars_in_trace : List[pytensor.graph.basic.Variable]
The list of variables that are assumed to have values stored in the trace
basic_rvs : Optional[List[pytensor.graph.basic.Variable]]
A list of random variables that are defined in the model. This list (which could be the
output of ``model.basic_RVs``) should have a reference to the variables that should
be considered as random variable instances. This includes variables that have
a ``RandomVariable`` owner op, but also unpure random variables like Mixtures, or
Censored distributions.
givens_dict : Optional[Dict[pytensor.graph.basic.Variable, Any]]
A dictionary that maps tensor variables to the values that should be used to replace them
in the compiled function. The types of the key and value should match or an error will be
raised during compilation.
constant_data : Optional[Dict[str, numpy.ndarray]]
A dictionary that maps the names of ``Data`` instances to their
corresponding values at inference time. If a model was created with ``Data``, these
are stored as ``SharedVariable`` with the name of the data variable and a value equal to
the initial data. At inference time, this information is stored in ``InferenceData``
objects under the ``constant_data`` group, which allows us to check whether a
``SharedVariable`` instance changed its values after inference or not. If the values have
changed, then the ``SharedVariable`` is assumed to be volatile. If it has not changed, then
the ``SharedVariable`` is assumed to not be volatile. If a ``SharedVariable`` is not found
in either ``constant_data`` or ``constant_coords``, then it is assumed to be volatile.
Setting ``constant_data`` to ``None`` is equivalent to passing an empty dictionary.
constant_coords : Optional[Set[str]]
A set with the names of the mutable coordinates that have not changed their shape after
inference. If a model was created with mutable coordinates, these are stored as
``SharedVariable`` with the name of the coordinate and a value equal to the length of said
coordinate. This set let's us check if a ``SharedVariable`` is a mutated coordinate, in
which case, it is considered volatile. If a ``SharedVariable`` is not found
in either ``constant_data`` or ``constant_coords``, then it is assumed to be volatile.
Setting ``constant_coords`` to ``None`` is equivalent to passing an empty set.
Returns
-------
function: Callable
Compiled forward sampling PyTensor function
volatile_basic_rvs: Set of Variable
Set of all basic_rvs that were considered volatile and will be resampled when
the function is evaluated
"""
if givens_dict is None:
givens_dict = {}
if basic_rvs is None:
basic_rvs = []
if constant_data is None:
constant_data = {}
if constant_coords is None:
constant_coords = set()
# We define a helper function to check if shared values match to an array
def shared_value_matches(var):
try:
old_array_value = constant_data[var.name]
except KeyError:
return var.name in constant_coords
current_shared_value = var.get_value(borrow=True)
return np.array_equal(old_array_value, current_shared_value)
# We need a function graph to walk the clients and propagate the volatile property
fg = FunctionGraph(outputs=outputs, clone=False)
# Walk the graph from inputs to outputs and tag the volatile variables
nodes: list[Variable] = general_toposort(
fg.outputs, deps=lambda x: x.owner.inputs if x.owner else []
) # type: ignore
volatile_nodes: set[Any] = set()
for node in nodes:
if (
node in fg.outputs
or node in givens_dict
or ( # SharedVariables, except RandomState/Generators
isinstance(node, SharedVariable)
and not isinstance(node, RandomStateSharedVariable | RandomGeneratorSharedVariable)
and not shared_value_matches(node)
)
or ( # Basic RVs that are not in the trace
node in basic_rvs and node not in vars_in_trace
)
or ( # Variables that have any volatile input
node.owner and any(inp in volatile_nodes for inp in node.owner.inputs)
)
):
volatile_nodes.add(node)
# Collect the function inputs by walking the graph from the outputs. Inputs will be:
# 1. Random variables that are not volatile
# 2. Variables that have no owner and are not constant or shared
inputs = []
def expand(node):
if (
(
node.owner is None and not isinstance(node, Constant | SharedVariable)
) # Variables without owners that are not constant or shared
or node in vars_in_trace # Variables in the trace
) and node not in volatile_nodes:
# This test will include variables without owners, and that are not constant
# or shared, because these nodes will never be considered volatile
inputs.append(node)
if node.owner:
return node.owner.inputs
# walk produces a generator, so we have to actually exhaust the generator in a list to walk
# the entire graph
list(walk(fg.outputs, expand))
# Populate the givens list
givens = [
(
node,
value
if isinstance(value, Variable | Apply)
else pt.constant(value, dtype=getattr(node, "dtype", None), name=node.name),
)
for node, value in givens_dict.items()
]
return (
compile_pymc(inputs, fg.outputs, givens=givens, on_unused_input="ignore", **kwargs),
set(basic_rvs) & (volatile_nodes - set(givens_dict)), # Basic RVs that will be resampled
)
[docs]
def draw(
vars: Variable | Sequence[Variable],
draws: int = 1,
random_seed: RandomState = None,
**kwargs,
) -> np.ndarray | list[np.ndarray]:
"""Draw samples for one variable or a list of variables
Parameters
----------
vars : TensorVariable or iterable of TensorVariable
A variable or a list of variables for which to draw samples.
draws : int, default 1
Number of samples needed to draw.
random_seed : int, RandomState or numpy_Generator, optional
Seed for the random number generator.
**kwargs : dict, optional
Keyword arguments for :func:`pymc.pytensorf.compile_pymc`.
Returns
-------
list of ndarray
A list of numpy arrays.
Examples
--------
.. code-block:: python
import pymc as pm
# Draw samples for one variable
with pm.Model():
x = pm.Normal("x")
x_draws = pm.draw(x, draws=100)
print(x_draws.shape)
# Draw 1000 samples for several variables
with pm.Model():
x = pm.Normal("x")
y = pm.Normal("y", shape=10)
z = pm.Uniform("z", shape=5)
num_draws = 1000
# Draw samples of a list variables
draws = pm.draw([x, y, z], draws=num_draws)
assert draws[0].shape == (num_draws,)
assert draws[1].shape == (num_draws, 10)
assert draws[2].shape == (num_draws, 5)
"""
if random_seed is not None:
(random_seed,) = _get_seeds_per_chain(random_seed, 1)
draw_fn = compile_pymc(inputs=[], outputs=vars, random_seed=random_seed, **kwargs)
if draws == 1:
return draw_fn()
# Single variable output
if not isinstance(vars, list | tuple):
cast(Callable[[], np.ndarray], draw_fn)
return np.stack([draw_fn() for _ in range(draws)])
# Multiple variable output
cast(Callable[[], list[np.ndarray]], draw_fn)
drawn_values = zip(*(draw_fn() for _ in range(draws)))
return [np.stack(v) for v in drawn_values]
def observed_dependent_deterministics(model: Model):
"""Find deterministics that depend directly on observed variables"""
deterministics = model.deterministics
observed_rvs = set(model.observed_RVs)
blockers = model.basic_RVs
return [
deterministic
for deterministic in deterministics
if observed_rvs & set(ancestors([deterministic], blockers=blockers))
]
[docs]
def sample_prior_predictive(
samples: int = 500,
model: Model | None = None,
var_names: Iterable[str] | None = None,
random_seed: RandomState = None,
return_inferencedata: bool = True,
idata_kwargs: dict | None = None,
compile_kwargs: dict | None = None,
) -> InferenceData | dict[str, np.ndarray]:
"""Generate samples from the prior predictive distribution.
Parameters
----------
samples : int
Number of samples from the prior predictive to generate. Defaults to 500.
model : Model (optional if in ``with`` context)
var_names : Iterable[str]
A list of names of variables for which to compute the prior predictive
samples. Defaults to both observed and unobserved RVs. Transformed values
are not allowed.
random_seed : int, RandomState or Generator, optional
Seed for the random number generator.
return_inferencedata : bool
Whether to return an :class:`arviz:arviz.InferenceData` (True) object or a dictionary (False).
Defaults to True.
idata_kwargs : dict, optional
Keyword arguments for :func:`pymc.to_inference_data`
compile_kwargs: dict, optional
Keyword arguments for :func:`pymc.pytensorf.compile_pymc`.
Returns
-------
arviz.InferenceData or Dict
An ArviZ ``InferenceData`` object containing the prior and prior predictive samples (default),
or a dictionary with variable names as keys and samples as numpy arrays.
"""
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,
stacklevel=2,
)
if var_names is None:
vars_: set[str] = {var.name for var in model.basic_RVs + model.deterministics}
else:
vars_ = set(var_names)
names = sorted(get_default_varnames(vars_, include_transformed=False))
vars_to_sample = [model[name] for name in names]
# Any variables from var_names still missing are assumed to be transformed variables.
missing_names = vars_.difference(names)
if missing_names:
raise ValueError(f"Unrecognized var_names: {missing_names}")
if random_seed is not None:
(random_seed,) = _get_seeds_per_chain(random_seed, 1)
if compile_kwargs is None:
compile_kwargs = {}
compile_kwargs.setdefault("allow_input_downcast", True)
compile_kwargs.setdefault("accept_inplace", True)
sampler_fn, volatile_basic_rvs = compile_forward_sampling_function(
vars_to_sample,
vars_in_trace=[],
basic_rvs=model.basic_RVs,
givens_dict=None,
random_seed=random_seed,
**compile_kwargs,
)
# All model variables have a name, but mypy does not know this
_log.info(f"Sampling: {list(sorted(volatile_basic_rvs, key=lambda var: var.name))}") # type: ignore
values = zip(*(sampler_fn() for i in range(samples)))
data = {k: np.stack(v) for k, v in zip(names, values)}
if data is None:
raise AssertionError("No variables sampled: attempting to sample %s" % names)
prior: dict[str, np.ndarray] = {}
for var_name in vars_:
if var_name in data:
prior[var_name] = data[var_name]
if not return_inferencedata:
return prior
ikwargs: dict[str, Any] = dict(model=model)
if idata_kwargs:
ikwargs.update(idata_kwargs)
return pm.to_inference_data(prior=prior, **ikwargs)
[docs]
def sample_posterior_predictive(
trace,
model: Model | None = None,
var_names: list[str] | None = None,
sample_dims: list[str] | None = None,
random_seed: RandomState = None,
progressbar: bool = True,
progressbar_theme: Theme | None = default_progress_theme,
return_inferencedata: bool = True,
extend_inferencedata: bool = False,
predictions: bool = False,
idata_kwargs: dict | None = None,
compile_kwargs: dict | None = None,
) -> InferenceData | dict[str, np.ndarray]:
"""Generate forward samples for `var_names`, conditioned on the posterior samples of variables found in the `trace`.
This method can be used to perform different kinds of model predictions, including posterior predictive checks.
The matching of unobserved model variables, and posterior samples in the `trace` is made based on the variable
names. Therefore, a different model than the one used for posterior sampling may be used for posterior predictive
sampling, as long as the variables whose posterior we want to condition on have the same name, and compatible shape
and coordinates.
Parameters
----------
trace : backend, list, xarray.Dataset, arviz.InferenceData, or MultiTrace
Trace generated from MCMC sampling, or a list of dicts (eg. points or from :func:`~pymc.find_MAP`),
or :class:`xarray.Dataset` (eg. InferenceData.posterior or InferenceData.prior)
model : Model (optional if in ``with`` context)
Model to be used to generate the posterior predictive samples. It will
generally be the model used to generate the `trace`, but it doesn't need to be.
var_names : Iterable[str], optional
Names of variables for which to compute the posterior predictive samples.
By default, only observed variables are sampled.
See the example below for what happens when this argument is customized.
sample_dims : list of str, optional
Dimensions over which to loop and generate posterior predictive samples.
When ``sample_dims`` is ``None`` (default) both "chain" and "draw" are considered sample
dimensions. Only taken into account when `trace` is InferenceData or Dataset.
random_seed : int, RandomState or Generator, optional
Seed for the random number generator.
progressbar : bool
Whether to display a progress bar in the command line. The bar shows the percentage
of completion, the sampling speed in samples per second (SPS), and the estimated remaining
time until completion ("expected time of arrival"; ETA).
return_inferencedata : bool, default True
Whether to return an :class:`arviz:arviz.InferenceData` (True) object or a dictionary (False).
extend_inferencedata : bool, default False
Whether to automatically use :meth:`arviz.InferenceData.extend` to add the posterior predictive samples to
`trace` or not. If True, `trace` is modified inplace but still returned.
predictions : bool, default False
Flag used to set the location of posterior predictive samples within the returned ``arviz.InferenceData`` object.
If False, assumes samples are generated based on the fitting data to be used for posterior predictive checks,
and samples are stored in the ``posterior_predictive``. If True, assumes samples are generated based on
out-of-sample data as predictions, and samples are stored in the ``predictions`` group.
idata_kwargs : dict, optional
Keyword arguments for :func:`pymc.to_inference_data` if ``predictions=False`` or to
:func:`pymc.predictions_to_inference_data` otherwise.
compile_kwargs: dict, optional
Keyword arguments for :func:`pymc.pytensorf.compile_pymc`.
Returns
-------
arviz.InferenceData or Dict
An ArviZ ``InferenceData`` object containing the posterior predictive samples (default), or
a dictionary with variable names as keys, and samples as numpy arrays.
Examples
--------
Posterior predictive checks and predictions
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
The most common use of `sample_posterior_predictive` is to perform posterior predictive checks (in-sample predictions)
and new model predictions (out-of-sample predictions).
.. code:: python
import pymc as pm
with pm.Model(coords_mutable={"trial": [0, 1, 2]}) as model:
x = pm.MutableData("x", [-1, 0, 1], dims=["trial"])
beta = pm.Normal("beta")
noise = pm.HalfNormal("noise")
y = pm.Normal("y", mu=x * beta, sigma=noise, observed=[-2, 0, 3], dims=["trial"])
idata = pm.sample()
# in-sample predictions
posterior_predictive = pm.sample_posterior_predictive(idata).posterior_predictive
with model:
pm.set_data({"x": [-2, 2]}, coords={"trial": [3, 4]})
# out-of-sample predictions
predictions = pm.sample_posterior_predictive(idata, predictions=True).predictions
Using different models
^^^^^^^^^^^^^^^^^^^^^^
It's common to use the same model for posterior and posterior predictive sampling, but this is not required.
The matching between unobserved model variables and posterior samples is based on the name alone.
For the last example we could have created a new predictions model. Note that we have to specify
`var_names` explicitly, because the newly defined `y` was not given any observations:
.. code:: python
with pm.Model(coords_mutable={"trial": [3, 4]}) as predictions_model:
x = pm.MutableData("x", [-2, 2], dims=["trial"])
beta = pm.Normal("beta")
noise = pm.HalfNormal("noise")
y = pm.Normal("y", mu=x * beta, sigma=noise, dims=["trial"])
predictions = pm.sample_posterior_predictive(idata, var_names=["y"], predictions=True).predictions
The new model may even have a different structure and unobserved variables that don't exist in the trace.
These variables will also be forward sampled. In the following example we added a new ``extra_noise``
variable between the inferred posterior ``noise`` and the new StudentT observational distribution ``y``:
.. code:: python
with pm.Model(coords_mutable={"trial": [3, 4]}) as distinct_predictions_model:
x = pm.MutableData("x", [-2, 2], dims=["trial"])
beta = pm.Normal("beta")
noise = pm.HalfNormal("noise")
extra_noise = pm.HalfNormal("extra_noise", sigma=noise)
y = pm.StudentT("y", nu=4, mu=x * beta, sigma=extra_noise, dims=["trial"])
predictions = pm.sample_posterior_predictive(idata, var_names=["y"], predictions=True).predictions
For more about out-of-model predictions, see this `blog post <https://www.pymc-labs.com/blog-posts/out-of-model-predictions-with-pymc/>`_.
The behavior of `var_names`
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
The function returns forward samples for any variable included in `var_names`,
conditioned on the values of other random variables found in the trace.
To ensure the samples are internally consistent, any random variable that depends
on another random variable that is being sampled is itself sampled, even if
this variable is present in the trace and was not included in `var_names`.
The final list of variables being sampled is shown in the log output.
Note that if a random variable has no dependency on other random variables,
these forward samples are equivalent to their prior samples.
Likewise, if all random variables are being sampled, the behavior of this function
is equivalent to that of :func:`~pymc.sample_prior_predictive`.
.. warning:: A random variable included in `var_names` will never be copied from the posterior group. It will always be sampled as described above. If you want, you can copy manually via ``idata.posterior_predictive["var_name"] = idata.posterior["var_name"]``.
The following code block explores how the behavior changes with different `var_names`:
.. code:: python
from logging import getLogger
import pymc as pm
# Some environments like google colab suppress
# the default logging output of PyMC
getLogger("pymc").setLevel("INFO")
kwargs = {"progressbar": False, "random_seed": 0}
with pm.Model() as model:
x = pm.Normal("x")
y = pm.Normal("y")
z = pm.Normal("z", x + y**2)
det = pm.Deterministic("det", pm.math.exp(z))
obs = pm.Normal("obs", det, 1, observed=[20])
idata = pm.sample(tune=10, draws=10, chains=2, **kwargs)
Default behavior. Generate samples of ``obs``, conditioned on the posterior samples of ``z`` found in the trace.
These are often referred to as posterior predictive samples in the literature:
.. code:: python
with model:
pm.sample_posterior_predictive(idata, var_names=["obs"], **kwargs)
# Sampling: [obs]
Re-compute the deterministic variable ``det``, conditioned on the posterior samples of ``z`` found in the trace:
.. code :: python
pm.sample_posterior_predictive(idata, var_names=["det"], **kwargs)
# Sampling: []
Generate samples of ``z`` and ``det``, conditioned on the posterior samples of ``x`` and ``y`` found in the trace.
.. code :: python
with model:
pm.sample_posterior_predictive(idata, var_names=["z", "det"], **kwargs)
# Sampling: [z]
Generate samples of ``y``, ``z`` and ``det``, conditioned on the posterior samples of ``x`` found in the trace.
Note: The samples of ``y`` are equivalent to its prior, since it does not depend on any other variables.
In contrast, the samples of ``z`` and ``det`` depend on the new samples of ``y`` and the posterior samples of
``x`` found in the trace.
.. code :: python
with model:
pm.sample_posterior_predictive(idata, var_names=["y", "z", "det"], **kwargs)
# Sampling: [y, z]
Same as before, except ``z`` is not stored in the returned trace.
For computing ``det`` we still have to sample ``z`` as it depends on ``y``, which is also being sampled.
.. code :: python
with model:
pm.sample_posterior_predictive(idata, var_names=["y", "det"], **kwargs)
# Sampling: [y, z]
Every random variable is sampled. This is equivalent to calling :func:`~pymc.sample_prior_predictive`
.. code :: python
with model:
pm.sample_posterior_predictive(idata, var_names=["x", "y", "z", "det", "obs"], **kwargs)
# Sampling: [x, y, z, obs]
.. danger:: Including a :func:`~pymc.Deterministic` in `var_names` may incorrectly force a random variable to be resampled, as happens with ``z`` in the following example:
.. code :: python
with pm.Model() as model:
x = pm.Normal("x")
y = pm.Normal("y")
det_xy = pm.Deterministic("det_xy", x + y**2)
z = pm.Normal("z", det_xy)
det_z = pm.Deterministic("det_z", pm.math.exp(z))
obs = pm.Normal("obs", det_z, 1, observed=[20])
idata = pm.sample(tune=10, draws=10, chains=2, **kwargs)
pm.sample_posterior_predictive(idata, var_names=["det_xy", "det_z"], **kwargs)
# Sampling: [z]
Controlling the number of samples
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
You can manipulate the InferenceData to control the number of samples
.. code:: python
import pymc as pm
with pm.Model() as model:
...
idata = pm.sample()
Generate 1 posterior predictive sample for every 5 posterior samples.
.. code:: python
thinned_idata = idata.sel(draw=slice(None, None, 5))
with model:
idata.extend(pm.sample_posterior_predictive(thinned_idata))
Generate 5 posterior predictive samples for every posterior sample.
.. code:: python
expanded_idata = idata.copy()
expanded_idata.posterior = idata.posterior.expand_dims(pred_id=5)
with model:
pm.sample_posterior_predictive(
expanded_idata,
sample_dims=["chain", "draw", "pred_id"],
extend_inferencedata=True,
)
"""
_trace: MultiTrace | PointList
nchain: int
if idata_kwargs is None:
idata_kwargs = {}
else:
idata_kwargs = idata_kwargs.copy()
if sample_dims is None:
sample_dims = ["chain", "draw"]
constant_data: dict[str, np.ndarray] = {}
trace_coords: dict[str, np.ndarray] = {}
if "coords" not in idata_kwargs:
idata_kwargs["coords"] = {}
idata: InferenceData | None = None
stacked_dims = None
if isinstance(trace, InferenceData):
_constant_data = getattr(trace, "constant_data", None)
if _constant_data is not None:
trace_coords.update({str(k): v.data for k, v in _constant_data.coords.items()})
constant_data.update({str(k): v.data for k, v in _constant_data.items()})
idata = trace
trace = trace["posterior"]
if isinstance(trace, xarray.Dataset):
trace_coords.update({str(k): v.data for k, v in trace.coords.items()})
_trace, stacked_dims = dataset_to_point_list(trace, sample_dims)
nchain = 1
elif isinstance(trace, MultiTrace):
_trace = trace
nchain = _trace.nchains
elif isinstance(trace, list) and all(isinstance(x, dict) for x in trace):
_trace = trace
nchain = 1
else:
raise TypeError(f"Unsupported type for `trace` argument: {type(trace)}.")
len_trace = len(_trace)
if isinstance(_trace, MultiTrace):
samples = sum(len(v) for v in _trace._straces.values())
elif isinstance(_trace, list):
# this is a list of points
samples = len(_trace)
else:
raise TypeError(
"Do not know how to compute number of samples for trace argument of type %s"
% type(_trace)
)
assert samples is not None
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,
stacklevel=2,
)
constant_coords = set()
for dim, coord in trace_coords.items():
current_coord = model.coords.get(dim, None)
if (
current_coord is not None
and len(coord) == len(current_coord)
and np.all(coord == current_coord)
):
constant_coords.add(dim)
if var_names is not None:
vars_ = [model[x] for x in var_names]
else:
vars_ = model.observed_RVs + observed_dependent_deterministics(model)
vars_to_sample = list(get_default_varnames(vars_, include_transformed=False))
if not vars_to_sample:
if return_inferencedata and not extend_inferencedata:
return InferenceData()
elif return_inferencedata and extend_inferencedata:
return trace
return {}
vars_in_trace = get_vars_in_point_list(_trace, model)
if random_seed is not None:
(random_seed,) = _get_seeds_per_chain(random_seed, 1)
if compile_kwargs is None:
compile_kwargs = {}
compile_kwargs.setdefault("allow_input_downcast", True)
compile_kwargs.setdefault("accept_inplace", True)
_sampler_fn, volatile_basic_rvs = compile_forward_sampling_function(
outputs=vars_to_sample,
vars_in_trace=vars_in_trace,
basic_rvs=model.basic_RVs,
givens_dict=None,
random_seed=random_seed,
constant_data=constant_data,
constant_coords=constant_coords,
**compile_kwargs,
)
sampler_fn = point_wrapper(_sampler_fn)
# All model variables have a name, but mypy does not know this
_log.info(f"Sampling: {list(sorted(volatile_basic_rvs, key=lambda var: var.name))}") # type: ignore
ppc_trace_t = _DefaultTrace(samples)
try:
with Progress(console=Console(theme=progressbar_theme)) as progress:
task = progress.add_task("Sampling ...", total=samples, visible=progressbar)
for idx in np.arange(samples):
if nchain > 1:
# the trace object will either be a MultiTrace (and have _straces)...
if hasattr(_trace, "_straces"):
chain_idx, point_idx = np.divmod(idx, len_trace)
chain_idx = chain_idx % nchain
param = cast(MultiTrace, _trace)._straces[chain_idx].point(point_idx)
# ... or a PointList
else:
param = cast(PointList, _trace)[idx % (len_trace * nchain)]
# there's only a single chain, but the index might hit it multiple times if
# the number of indices is greater than the length of the trace.
else:
param = _trace[idx % len_trace]
values = sampler_fn(**param)
for k, v in zip(vars_, values):
ppc_trace_t.insert(k.name, v, idx)
progress.advance(task)
except KeyboardInterrupt:
pass
ppc_trace = ppc_trace_t.trace_dict
for k, ary in ppc_trace.items():
if stacked_dims is not None:
ppc_trace[k] = ary.reshape(
(*[len(coord) for coord in stacked_dims.values()], *ary.shape[1:])
)
else:
ppc_trace[k] = ary.reshape((nchain, len_trace, *ary.shape[1:]))
if not return_inferencedata:
return ppc_trace
ikwargs: dict[str, Any] = dict(model=model, **idata_kwargs)
ikwargs.setdefault("sample_dims", sample_dims)
if stacked_dims is not None:
coords = ikwargs.get("coords", {})
ikwargs["coords"] = {**stacked_dims, **coords}
if predictions:
if extend_inferencedata:
ikwargs.setdefault("idata_orig", idata)
ikwargs.setdefault("inplace", True)
return pm.predictions_to_inference_data(ppc_trace, **ikwargs)
idata_pp = pm.to_inference_data(posterior_predictive=ppc_trace, **ikwargs)
if extend_inferencedata and idata is not None:
idata.extend(idata_pp)
return idata
return idata_pp