pymc.FullRank#

class pymc.FullRank(*args, **kwargs)[source]#

Single Group Full Rank Approximation

Full Rank approximation to the posterior.

Multivariate Gaussian family is fitted to minimize KL divergence from posterior.

In contrast to MeanField approach, correlations between variables are taken into account. The main drawback of the method is its computational cost.

Methods

FullRank.__init__(*args, **kwargs)

FullRank.collect(item)

FullRank.get_optimization_replacements(s, d)

Dev - optimizations for logP.

FullRank.make_size_and_deterministic_replacements(s, d)

Dev - create correct replacements for initial depending on sample size and deterministic flag.

FullRank.rslice(name)

Dev - vectorized sampling for named random variable without call to pytensor.scan.

FullRank.sample([draws, random_seed, ...])

Draw samples from variational posterior.

FullRank.sample_node(node[, size, ...])

Sample given node or nodes over shared posterior.

FullRank.set_size_and_deterministic(node, s, d)

Dev - after node is sampled via symbolic_sample_over_posterior() or symbolic_single_sample() new random generator can be allocated and applied to node.

FullRank.symbolic_sample_over_posterior(node)

Dev - perform sampling of node applying independent samples from posterior each time.

FullRank.symbolic_single_sample(node[, ...])

Dev - perform sampling of node applying single sample from posterior.

FullRank.to_flat_input(node[, more_replacements])

Dev - replace vars with flattened view stored in self.inputs.

Attributes

all_histograms

any_histograms

datalogp

Dev - computes \(E_{q}(data term)\) from model via pytensor.scan that can be optimized later.

datalogp_norm

Dev - normalized \(E_{q}(data term)\).

ddim

has_logq

inputs

joint_histogram

logp

Dev - computes \(E_{q}(logP)\) from model via pytensor.scan that can be optimized later.

logp_norm

Dev - normalized \(E_{q}(logP)\).

logq

Dev - collects logQ for all groups.

logq_norm

Dev - collects logQ for all groups and normalizes it.

ndim

params

replacements

Dev - all replacements from groups to replace PyMC random variables with approximation.

sample_dict_fn

scale_cost_to_minibatch

Dev - Property to control scaling cost to minibatch.

single_symbolic_datalogp

Dev - for single MC sample estimate of \(E_{q}(data term)\) pytensor.scan is not needed and code can be optimized.

single_symbolic_logp

Dev - for single MC sample estimate of \(E_{q}(logP)\) pytensor.scan is not needed and code can be optimized.

single_symbolic_varlogp

Dev - for single MC sample estimate of \(E_{q}(prior term)\) pytensor.scan is not needed and code can be optimized.

sized_symbolic_datalogp

Dev - computes sampled data term from model via pytensor.scan.

sized_symbolic_logp

Dev - computes sampled logP from model via pytensor.scan.

sized_symbolic_varlogp

Dev - computes sampled prior term from model via pytensor.scan.

symbolic_logq

Dev - collects symbolic_logq for all groups.

symbolic_normalizing_constant

Dev - normalizing constant for self.logq, scales it to minibatch_size instead of total_size.

symbolic_random

symbolic_randoms

varlogp

Dev - computes \(E_{q}(prior term)\) from model via pytensor.scan that can be optimized later.

varlogp_norm

Dev - normalized \(E_{q}(prior term)\).