pymc-extras 0.2.3__tar.gz → 0.2.4__tar.gz

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pymc-extras
-Version: 0.2.3
+Version: 0.2.4
 Summary: A home for new additions to PyMC, which may include unusual probability distribitions, advanced model fitting algorithms, or any code that may be inappropriate to include in the pymc repository, but may want to be made available to users.
 Home-page: http://github.com/pymc-devs/pymc-extras
 Maintainer: PyMC Developers
@@ -20,7 +20,7 @@ Classifier: Operating System :: OS Independent
 Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: pymc>=5.20
+Requires-Dist: pymc>=5.21.1
 Requires-Dist: scikit-learn
 Requires-Dist: better-optimize
 Provides-Extra: dask-histogram

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras/inference/pathfinder/importance_sampling.py

@@ -20,7 +20,7 @@ class ImportanceSamplingResult:
     samples: NDArray
     pareto_k: float | None = None
     warnings: list[str] = field(default_factory=list)
-    method: str = "none"
+    method: str = "psis"
 
 
 def importance_sampling(
@@ -28,7 +28,7 @@ def importance_sampling(
     logP: NDArray,
     logQ: NDArray,
     num_draws: int,
-    method: Literal["psis", "psir", "identity", "none"] | None,
+    method: Literal["psis", "psir", "identity"] | None,
     random_seed: int | None = None,
 ) -> ImportanceSamplingResult:
     """Pareto Smoothed Importance Resampling (PSIR)
@@ -44,8 +44,15 @@ def importance_sampling(
         log probability values of proposal distribution, shape (L, M)
     num_draws : int
         number of draws to return where num_draws <= samples.shape[0]
-    method : str, optional
-        importance sampling method to use. Options are "psis" (default), "psir", "identity", "none. Pareto Smoothed Importance Sampling (psis) is recommended in many cases for more stable results than Pareto Smoothed Importance Resampling (psir). identity applies the log importance weights directly without resampling. none applies no importance sampling weights and returns the samples as is of size num_draws_per_path * num_paths.
+    method : str, None, optional
+        Method to apply sampling based on log importance weights (logP - logQ).
+        Options are:
+        "psis" : Pareto Smoothed Importance Sampling (default)
+                Recommended for more stable results.
+        "psir" : Pareto Smoothed Importance Resampling
+                Less stable than PSIS.
+        "identity" : Applies log importance weights directly without resampling.
+        None : No importance sampling weights. Returns raw samples of size (num_paths, num_draws_per_path, N) where N is number of model parameters. Other methods return samples of size (num_draws, N).
     random_seed : int | None
 
     Returns
@@ -71,11 +78,11 @@ def importance_sampling(
     warnings = []
     num_paths, _, N = samples.shape
 
-    if method == "none":
+    if method is None:
         warnings.append(
             "Importance sampling is disabled. The samples are returned as is which may include samples from failed paths with non-finite logP or logQ values. It is recommended to use importance_sampling='psis' for better stability."
         )
-        return ImportanceSamplingResult(samples=samples, warnings=warnings)
+        return ImportanceSamplingResult(samples=samples, warnings=warnings, method=method)
     else:
         samples = samples.reshape(-1, N)
         logP = logP.ravel()
@@ -91,17 +98,16 @@ def importance_sampling(
             _warnings.filterwarnings(
                 "ignore", category=RuntimeWarning, message="overflow encountered in exp"
             )
-            if method == "psis":
-                replace = False
-                logiw, pareto_k = az.psislw(logiw)
-            elif method == "psir":
-                replace = True
-                logiw, pareto_k = az.psislw(logiw)
-            elif method == "identity":
-                replace = False
-                pareto_k = None
-            else:
-                raise ValueError(f"Invalid importance sampling method: {method}")
+            match method:
+                case "psis":
+                    replace = False
+                    logiw, pareto_k = az.psislw(logiw)
+                case "psir":
+                    replace = True
+                    logiw, pareto_k = az.psislw(logiw)
+                case "identity":
+                    replace = False
+                    pareto_k = None
 
     # NOTE: Pareto k is normally bad for Pathfinder even when the posterior is close to the NUTS posterior or closer to NUTS than ADVI.
     # Pareto k may not be a good diagnostic for Pathfinder.

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras/inference/pathfinder/pathfinder.py

@@ -60,6 +60,7 @@ from pytensor.graph import Apply, Op, vectorize_graph
 from pytensor.tensor import TensorConstant, TensorVariable
 from rich.console import Console, Group
 from rich.padding import Padding
+from rich.progress import BarColumn, TextColumn, TimeElapsedColumn, TimeRemainingColumn
 from rich.table import Table
 from rich.text import Text
 
@@ -155,7 +156,7 @@ def convert_flat_trace_to_idata(
     postprocessing_backend: Literal["cpu", "gpu"] = "cpu",
     inference_backend: Literal["pymc", "blackjax"] = "pymc",
     model: Model | None = None,
-    importance_sampling: Literal["psis", "psir", "identity", "none"] = "psis",
+    importance_sampling: Literal["psis", "psir", "identity"] | None = "psis",
 ) -> az.InferenceData:
     """convert flattened samples to arviz InferenceData format.
 
@@ -180,7 +181,7 @@ def convert_flat_trace_to_idata(
         arviz inference data object
     """
 
-    if importance_sampling == "none":
+    if importance_sampling is None:
         # samples.ndim == 3 in this case, otherwise ndim == 2
         num_paths, num_pdraws, N = samples.shape
         samples = samples.reshape(-1, N)
@@ -219,7 +220,7 @@ def convert_flat_trace_to_idata(
         fn.trust_input = True
         result = fn(*list(trace.values()))
 
-        if importance_sampling == "none":
+        if importance_sampling is None:
             result = [res.reshape(num_paths, num_pdraws, *res.shape[2:]) for res in result]
 
     elif inference_backend == "blackjax":
@@ -1188,7 +1189,7 @@ class MultiPathfinderResult:
     elbo_argmax: NDArray | None = None
     lbfgs_status: Counter = field(default_factory=Counter)
     path_status: Counter = field(default_factory=Counter)
-    importance_sampling: str = "none"
+    importance_sampling: str | None = "psis"
     warnings: list[str] = field(default_factory=list)
     pareto_k: float | None = None
 
@@ -1257,7 +1258,7 @@ class MultiPathfinderResult:
     def with_importance_sampling(
         self,
         num_draws: int,
-        method: Literal["psis", "psir", "identity", "none"] | None,
+        method: Literal["psis", "psir", "identity"] | None,
         random_seed: int | None = None,
     ) -> Self:
         """perform importance sampling"""
@@ -1395,7 +1396,7 @@ def _get_status_warning(mpr: MultiPathfinderResult) -> list[str]:
 
     path_status_message = {
         PathStatus.ELBO_ARGMAX_AT_ZERO: "ELBO argmax at zero refers to the first iteration during LBFGS. A high occurrence suggests the model's default initial point + jitter is may be too close to the mean posterior and a poor exploration of the parameter space. Consider increasing jitter if this occurence is high relative to the number of paths.",
-        PathStatus.INVALID_LOGP: "Invalid logP values occur when a path's logP values are not finite. The failed path is not included in samples when importance sampling is used. Consider reparameterizing the model or adjusting the pathfinder arguments if this occurence is high relative to the number of paths.",
+        PathStatus.ELBO_ARGMAX_AT_ZERO: "ELBO argmax at zero refers to the first iteration during LBFGS. A high occurrence suggests the model's default initial point + jitter values are concentrated in high-density regions in the target distribution and may result in poor exploration of the parameter space. Consider increasing jitter if this occurrence is high relative to the number of paths.",
         PathStatus.INVALID_LOGQ: "Invalid logQ values occur when a path's logQ values are not finite. The failed path is not included in samples when importance sampling is used. Consider reparameterizing the model or adjusting the pathfinder arguments if this occurence is high relative to the number of paths.",
     }
 
@@ -1423,7 +1424,7 @@ def multipath_pathfinder(
     num_elbo_draws: int,
     jitter: float,
     epsilon: float,
-    importance_sampling: Literal["psis", "psir", "identity", "none"] | None,
+    importance_sampling: Literal["psis", "psir", "identity"] | None,
     progressbar: bool,
     concurrent: Literal["thread", "process"] | None,
     random_seed: RandomSeed,
@@ -1459,8 +1460,14 @@ def multipath_pathfinder(
         Amount of jitter to apply to initial points (default is 2.0). Note that Pathfinder may be highly sensitive to the jitter value. It is recommended to increase num_paths when increasing the jitter value.
     epsilon: float
         value used to filter out large changes in the direction of the update gradient at each iteration l in L. Iteration l is only accepted if delta_theta[l] * delta_grad[l] > epsilon * L2_norm(delta_grad[l]) for each l in L. (default is 1e-8).
-    importance_sampling : str, optional
-        importance sampling method to use which applies sampling based on the log importance weights equal to logP - logQ. Options are "psis" (default), "psir", "identity", "none". Pareto Smoothed Importance Sampling (psis) is recommended in many cases for more stable results than Pareto Smoothed Importance Resampling (psir). identity applies the log importance weights directly without resampling. none applies no importance sampling weights and returns the samples as is of size (num_paths, num_draws_per_path, N) where N is the number of model parameters, otherwise sample size is (num_draws, N).
+    importance_sampling : str, None, optional
+        Method to apply sampling based on log importance weights (logP - logQ).
+        "psis" : Pareto Smoothed Importance Sampling (default)
+                Recommended for more stable results.
+        "psir" : Pareto Smoothed Importance Resampling
+                Less stable than PSIS.
+        "identity" : Applies log importance weights directly without resampling.
+        None : No importance sampling weights. Returns raw samples of size (num_paths, num_draws_per_path, N) where N is number of model parameters. Other methods return samples of size (num_draws, N).
     progressbar : bool, optional
         Whether to display a progress bar (default is False). Setting this to True will likely increase the computation time.
     random_seed : RandomSeed, optional
@@ -1482,12 +1489,6 @@ def multipath_pathfinder(
         The result containing samples and other information from the Multi-Path Pathfinder algorithm.
     """
 
-    valid_importance_sampling = ["psis", "psir", "identity", "none", None]
-    if importance_sampling is None:
-        importance_sampling = "none"
-    if importance_sampling.lower() not in valid_importance_sampling:
-        raise ValueError(f"Invalid importance sampling method: {importance_sampling}")
-
     *path_seeds, choice_seed = _get_seeds_per_chain(random_seed, num_paths + 1)
 
     pathfinder_config = PathfinderConfig(
@@ -1521,12 +1522,20 @@ def multipath_pathfinder(
     results = []
     compute_start = time.time()
     try:
-        with CustomProgress(
+        desc = f"Paths Complete: {{path_idx}}/{num_paths}"
+        progress = CustomProgress(
+            "[progress.description]{task.description}",
+            BarColumn(),
+            "[progress.percentage]{task.percentage:>3.0f}%",
+            TimeRemainingColumn(),
+            TextColumn("/"),
+            TimeElapsedColumn(),
             console=Console(theme=default_progress_theme),
             disable=not progressbar,
-        ) as progress:
-            task = progress.add_task("Fitting", total=num_paths)
-            for result in generator:
+        )
+        with progress:
+            task = progress.add_task(desc.format(path_idx=0), completed=0, total=num_paths)
+            for path_idx, result in enumerate(generator, start=1):
                 try:
                     if isinstance(result, Exception):
                         raise result
@@ -1552,7 +1561,14 @@ def multipath_pathfinder(
                             lbfgs_status=LBFGSStatus.LBFGS_FAILED,
                         )
                     )
-                progress.update(task, advance=1)
+                finally:
+                    # TODO: display LBFGS and Path Status in real time
+                    progress.update(
+                        task,
+                        description=desc.format(path_idx=path_idx),
+                        completed=path_idx,
+                        refresh=True,
+                    )
     except (KeyboardInterrupt, StopIteration) as e:
         # if exception is raised here, MultiPathfinderResult will collect all the successful results and report the results. User is free to abort the process earlier and the results will still be collected and return az.InferenceData.
         if isinstance(e, StopIteration):
@@ -1606,7 +1622,7 @@ def fit_pathfinder(
     num_elbo_draws: int = 10,  # K
     jitter: float = 2.0,
     epsilon: float = 1e-8,
-    importance_sampling: Literal["psis", "psir", "identity", "none"] = "psis",
+    importance_sampling: Literal["psis", "psir", "identity"] | None = "psis",
     progressbar: bool = True,
     concurrent: Literal["thread", "process"] | None = None,
     random_seed: RandomSeed | None = None,
@@ -1646,8 +1662,15 @@ def fit_pathfinder(
         Amount of jitter to apply to initial points (default is 2.0). Note that Pathfinder may be highly sensitive to the jitter value. It is recommended to increase num_paths when increasing the jitter value.
     epsilon: float
         value used to filter out large changes in the direction of the update gradient at each iteration l in L. Iteration l is only accepted if delta_theta[l] * delta_grad[l] > epsilon * L2_norm(delta_grad[l]) for each l in L. (default is 1e-8).
-    importance_sampling : str, optional
-        importance sampling method to use which applies sampling based on the log importance weights equal to logP - logQ. Options are "psis" (default), "psir", "identity", "none". Pareto Smoothed Importance Sampling (psis) is recommended in many cases for more stable results than Pareto Smoothed Importance Resampling (psir). identity applies the log importance weights directly without resampling. none applies no importance sampling weights and returns the samples as is of size (num_paths, num_draws_per_path, N) where N is the number of model parameters, otherwise sample size is (num_draws, N).
+    importance_sampling : str, None, optional
+        Method to apply sampling based on log importance weights (logP - logQ).
+        Options are:
+        "psis" : Pareto Smoothed Importance Sampling (default)
+                Recommended for more stable results.
+        "psir" : Pareto Smoothed Importance Resampling
+                Less stable than PSIS.
+        "identity" : Applies log importance weights directly without resampling.
+        None : No importance sampling weights. Returns raw samples of size (num_paths, num_draws_per_path, N) where N is number of model parameters. Other methods return samples of size (num_draws, N).
     progressbar : bool, optional
         Whether to display a progress bar (default is True). Setting this to False will likely reduce the computation time.
     random_seed : RandomSeed, optional
@@ -1674,6 +1697,15 @@ def fit_pathfinder(
     """
 
     model = modelcontext(model)
+
+    valid_importance_sampling = {"psis", "psir", "identity", None}
+
+    if importance_sampling is not None:
+        importance_sampling = importance_sampling.lower()
+
+    if importance_sampling not in valid_importance_sampling:
+        raise ValueError(f"Invalid importance sampling method: {importance_sampling}")
+
     N = DictToArrayBijection.map(model.initial_point()).data.shape[0]
 
     if maxcor is None:

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras/statespace/core/statespace.py

@@ -28,7 +28,6 @@ from pymc_extras.statespace.filters import (
 )
 from pymc_extras.statespace.filters.distributions import (
     LinearGaussianStateSpace,
-    MvNormalSVD,
     SequenceMvNormal,
 )
 from pymc_extras.statespace.filters.utilities import stabilize
@@ -707,7 +706,7 @@ class PyMCStateSpace:
         with pymc_model:
             for param_name in self.param_names:
                 param = getattr(pymc_model, param_name, None)
-                if param:
+                if param is not None:
                     found_params.append(param.name)
 
         missing_params = list(set(self.param_names) - set(found_params))
@@ -746,7 +745,7 @@ class PyMCStateSpace:
         with pymc_model:
             for data_name in data_names:
                 data = getattr(pymc_model, data_name, None)
-                if data:
+                if data is not None:
                     found_data.append(data.name)
 
         missing_data = list(set(data_names) - set(found_data))
@@ -2233,7 +2232,9 @@ class PyMCStateSpace:
             if shock_trajectory is None:
                 shock_trajectory = pt.zeros((n_steps, self.k_posdef))
                 if Q is not None:
-                    init_shock = MvNormalSVD("initial_shock", mu=0, cov=Q, dims=[SHOCK_DIM])
+                    init_shock = pm.MvNormal(
+                        "initial_shock", mu=0, cov=Q, dims=[SHOCK_DIM], method="svd"
+                    )
                 else:
                     init_shock = pm.Deterministic(
                         "initial_shock",

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras/statespace/filters/distributions.py

@@ -6,11 +6,9 @@ import pytensor.tensor as pt
 from pymc import intX
 from pymc.distributions.dist_math import check_parameters
 from pymc.distributions.distribution import Continuous, SymbolicRandomVariable
-from pymc.distributions.multivariate import MvNormal
 from pymc.distributions.shape_utils import get_support_shape_1d
 from pymc.logprob.abstract import _logprob
 from pytensor.graph.basic import Node
-from pytensor.tensor.random.basic import MvNormalRV
 
 floatX = pytensor.config.floatX
 COV_ZERO_TOL = 0
@@ -49,44 +47,6 @@ def make_signature(sequence_names):
     return f"{signature},[rng]->[rng],({time},{state_and_obs})"
 
 
-class MvNormalSVDRV(MvNormalRV):
-    name = "multivariate_normal"
-    signature = "(n),(n,n)->(n)"
-    dtype = "floatX"
-    _print_name = ("MultivariateNormal", "\\operatorname{MultivariateNormal}")
-
-
-class MvNormalSVD(MvNormal):
-    """Dummy distribution intended to be rewritten into a JAX multivariate_normal with method="svd".
-
-    A JAX MvNormal robust to low-rank covariance matrices
-    """
-
-    rv_op = MvNormalSVDRV()
-
-
-try:
-    import jax.random
-
-    from pytensor.link.jax.dispatch.random import jax_sample_fn
-
-    @jax_sample_fn.register(MvNormalSVDRV)
-    def jax_sample_fn_mvnormal_svd(op, node):
-        def sample_fn(rng, size, dtype, *parameters):
-            rng_key = rng["jax_state"]
-            rng_key, sampling_key = jax.random.split(rng_key, 2)
-            sample = jax.random.multivariate_normal(
-                sampling_key, *parameters, shape=size, dtype=dtype, method="svd"
-            )
-            rng["jax_state"] = rng_key
-            return (rng, sample)
-
-        return sample_fn
-
-except ImportError:
-    pass
-
-
 class LinearGaussianStateSpaceRV(SymbolicRandomVariable):
     default_output = 1
     _print_name = ("LinearGuassianStateSpace", "\\operatorname{LinearGuassianStateSpace}")
@@ -244,8 +204,12 @@ class _LinearGaussianStateSpace(Continuous):
             k = T.shape[0]
             a = state[:k]
 
-            middle_rng, a_innovation = MvNormalSVD.dist(mu=0, cov=Q, rng=rng).owner.outputs
-            next_rng, y_innovation = MvNormalSVD.dist(mu=0, cov=H, rng=middle_rng).owner.outputs
+            middle_rng, a_innovation = pm.MvNormal.dist(
+                mu=0, cov=Q, rng=rng, method="svd"
+            ).owner.outputs
+            next_rng, y_innovation = pm.MvNormal.dist(
+                mu=0, cov=H, rng=middle_rng, method="svd"
+            ).owner.outputs
 
             a_mu = c + T @ a
             a_next = a_mu + R @ a_innovation
@@ -260,8 +224,8 @@ class _LinearGaussianStateSpace(Continuous):
         Z_init = Z_ if Z_ in non_sequences else Z_[0]
         H_init = H_ if H_ in non_sequences else H_[0]
 
-        init_x_ = MvNormalSVD.dist(a0_, P0_, rng=rng)
-        init_y_ = MvNormalSVD.dist(Z_init @ init_x_, H_init, rng=rng)
+        init_x_ = pm.MvNormal.dist(a0_, P0_, rng=rng, method="svd")
+        init_y_ = pm.MvNormal.dist(Z_init @ init_x_, H_init, rng=rng, method="svd")
 
         init_dist_ = pt.concatenate([init_x_, init_y_], axis=0)
 
@@ -421,7 +385,7 @@ class SequenceMvNormal(Continuous):
         rng = pytensor.shared(np.random.default_rng())
 
         def step(mu, cov, rng):
-            new_rng, mvn = MvNormalSVD.dist(mu=mu, cov=cov, rng=rng).owner.outputs
+            new_rng, mvn = pm.MvNormal.dist(mu=mu, cov=cov, rng=rng, method="svd").owner.outputs
             return mvn, {rng: new_rng}
 
         mvn_seq, updates = pytensor.scan(

pymc_extras-0.2.4/pymc_extras/version.txt

@@ -0,0 +1 @@
+0.2.4

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: pymc-extras
-Version: 0.2.3
+Version: 0.2.4
 Summary: A home for new additions to PyMC, which may include unusual probability distribitions, advanced model fitting algorithms, or any code that may be inappropriate to include in the pymc repository, but may want to be made available to users.
 Home-page: http://github.com/pymc-devs/pymc-extras
 Maintainer: PyMC Developers
@@ -20,7 +20,7 @@ Classifier: Operating System :: OS Independent
 Requires-Python: >=3.10
 Description-Content-Type: text/markdown
 License-File: LICENSE
-Requires-Dist: pymc>=5.20
+Requires-Dist: pymc>=5.21.1
 Requires-Dist: scikit-learn
 Requires-Dist: better-optimize
 Provides-Extra: dask-histogram

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pymc_extras.egg-info/requires.txt

@@ -1,4 +1,4 @@
-pymc>=5.20
+pymc>=5.21.1
 scikit-learn
 better-optimize
 

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/pyproject.toml

@@ -20,6 +20,9 @@ filterwarnings =[
 
   # Warning coming from blackjax
   'ignore:jax\.tree_map is deprecated:DeprecationWarning',
+
+  # PyMC uses numpy.core functions, which emits an warning as of numpy>2.0
+  'ignore:numpy\.core\.numeric is deprecated:DeprecationWarning',
 ]
 
 [tool.coverage.report]

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/requirements.txt

@@ -1,3 +1,3 @@
-pymc>=5.20
+pymc>=5.21.1
 scikit-learn
 better-optimize

{pymc_extras-0.2.3 → pymc_extras-0.2.4}/tests/test_pathfinder.py

@@ -44,8 +44,8 @@ def reference_idata():
     with model:
         idata = pmx.fit(
             method="pathfinder",
-            num_paths=50,
-            jitter=10.0,
+            num_paths=10,
+            jitter=12.0,
             random_seed=41,
             inference_backend="pymc",
         )
@@ -62,15 +62,15 @@ def test_pathfinder(inference_backend, reference_idata):
         with model:
             idata = pmx.fit(
                 method="pathfinder",
-                num_paths=50,
-                jitter=10.0,
+                num_paths=10,
+                jitter=12.0,
                 random_seed=41,
                 inference_backend=inference_backend,
             )
     else:
         idata = reference_idata
-        np.testing.assert_allclose(idata.posterior["mu"].mean(), 5.0, atol=1.6)
-        np.testing.assert_allclose(idata.posterior["tau"].mean(), 4.15, atol=1.5)
+        np.testing.assert_allclose(idata.posterior["mu"].mean(), 5.0, atol=0.95)
+        np.testing.assert_allclose(idata.posterior["tau"].mean(), 4.15, atol=1.35)
 
     assert idata.posterior["mu"].shape == (1, 1000)
     assert idata.posterior["tau"].shape == (1, 1000)
@@ -83,8 +83,8 @@ def test_concurrent_results(reference_idata, concurrent):
     with model:
         idata_conc = pmx.fit(
             method="pathfinder",
-            num_paths=50,
-            jitter=10.0,
+            num_paths=10,
+            jitter=12.0,
             random_seed=41,
             inference_backend="pymc",
             concurrent=concurrent,
@@ -108,7 +108,7 @@ def test_seed(reference_idata):
     with model:
         idata_41 = pmx.fit(
             method="pathfinder",
-            num_paths=50,
+            num_paths=4,
             jitter=10.0,
             random_seed=41,
             inference_backend="pymc",
@@ -116,7 +116,7 @@ def test_seed(reference_idata):
 
         idata_123 = pmx.fit(
             method="pathfinder",
-            num_paths=50,
+            num_paths=4,
             jitter=10.0,
             random_seed=123,
             inference_backend="pymc",
@@ -171,3 +171,33 @@ def test_bfgs_sample():
     assert gamma.eval().shape == (L, 2 * J, 2 * J)
     assert phi.eval().shape == (L, num_samples, N)
     assert logq.eval().shape == (L, num_samples)
+
+
+@pytest.mark.parametrize("importance_sampling", ["psis", "psir", "identity", None])
+def test_pathfinder_importance_sampling(importance_sampling):
+    model = eight_schools_model()
+
+    num_paths = 4
+    num_draws_per_path = 300
+    num_draws = 750
+
+    with model:
+        idata = pmx.fit(
+            method="pathfinder",
+            num_paths=num_paths,
+            num_draws_per_path=num_draws_per_path,
+            num_draws=num_draws,
+            maxiter=5,
+            random_seed=41,
+            inference_backend="pymc",
+            importance_sampling=importance_sampling,
+        )
+
+    if importance_sampling is None:
+        assert idata.posterior["mu"].shape == (num_paths, num_draws_per_path)
+        assert idata.posterior["tau"].shape == (num_paths, num_draws_per_path)
+        assert idata.posterior["theta"].shape == (num_paths, num_draws_per_path, 8)
+    else:
+        assert idata.posterior["mu"].shape == (1, num_draws)
+        assert idata.posterior["tau"].shape == (1, num_draws)
+        assert idata.posterior["theta"].shape == (1, num_draws, 8)

pymc_extras-0.2.3/pymc_extras/version.txt

@@ -1 +0,0 @@
-0.2.3