Handle latest PyMC/PyTensor breaking changes

Author: ricardoV94

conda-envs/environment-test.yml

@@ -10,6 +10,6 @@ dependencies:
 - xhistogram
 - statsmodels
 - pip:
-  - pymc>=5.13.0  # CI was failing to resolve
+  - pymc>=5.16.1  # CI was failing to resolve
   - blackjax
   - scikit-learn

conda-envs/windows-environment-test.yml

@@ -10,6 +10,6 @@ dependencies:
 - xhistogram
 - statsmodels
 - pip:
-  - pymc>=5.13.0  # CI was failing to resolve
+  - pymc>=5.16.1  # CI was failing to resolve
   - blackjax
   - scikit-learn

pymc_experimental/distributions/continuous.py

@@ -19,7 +19,7 @@
 The imports from pymc are not fully replicated here: add imports as necessary.
 """
 
-from typing import List, Tuple, Union
+from typing import Tuple, Union
 
 import numpy as np
 import pytensor.tensor as pt
@@ -37,8 +37,7 @@
 
 class GenExtremeRV(RandomVariable):
     name: str = "Generalized Extreme Value"
-    ndim_supp: int = 0
-    ndims_params: List[int] = [0, 0, 0]
+    signature = "(),(),()->()"
     dtype: str = "floatX"
     _print_name: Tuple[str, str] = ("Generalized Extreme Value", "\\operatorname{GEV}")
 
@@ -275,7 +274,7 @@ def chi_dist(nu: TensorVariable, size: TensorVariable) -> TensorVariable:
 
     def __new__(cls, name, nu, **kwargs):
         if "observed" not in kwargs:
-            kwargs.setdefault("transform", transforms.log)
+            kwargs.setdefault("default_transform", transforms.log)
         return CustomDist(name, nu, dist=cls.chi_dist, class_name="Chi", **kwargs)
 
     @classmethod

pymc_experimental/distributions/discrete.py

@@ -31,8 +31,7 @@ def log1mexp(x):
 
 class GeneralizedPoissonRV(RandomVariable):
     name = "generalized_poisson"
-    ndim_supp = 0
-    ndims_params = [0, 0]
+    signature = "(),()->()"
     dtype = "int64"
     _print_name = ("GeneralizedPoisson", "\\operatorname{GeneralizedPoisson}")
 

pymc_experimental/model/marginal_model.py

@@ -21,7 +21,7 @@
 from pytensor.graph.replace import graph_replace, vectorize_graph
 from pytensor.scan import map as scan_map
 from pytensor.tensor import TensorType, TensorVariable
-from pytensor.tensor.elemwise import Elemwise
+from pytensor.tensor.elemwise import DimShuffle, Elemwise
 from pytensor.tensor.shape import Shape
 from pytensor.tensor.special import log_softmax
 
@@ -598,7 +598,18 @@ def is_elemwise_subgraph(rv_to_marginalize, other_input_rvs, output_rvs):
     fg = FunctionGraph(outputs=output_rvs, clone=False)
 
     non_elemwise_blockers = [
-        o for node in fg.apply_nodes if not isinstance(node.op, Elemwise) for o in node.outputs
+        o
+        for node in fg.apply_nodes
+        if not (
+            isinstance(node.op, Elemwise)
+            # Allow expand_dims on the left
+            or (
+                isinstance(node.op, DimShuffle)
+                and not node.op.drop
+                and node.op.shuffle == sorted(node.op.shuffle)
+            )
+        )
+        for o in node.outputs
     ]
     blocker_candidates = [rv_to_marginalize] + other_input_rvs + non_elemwise_blockers
     blockers = [var for var in blocker_candidates if var not in output_rvs]
@@ -698,16 +709,17 @@ def replace_finite_discrete_marginal_subgraph(fgraph, rv_to_marginalize, all_rvs
 
 def get_domain_of_finite_discrete_rv(rv: TensorVariable) -> tuple[int, ...]:
     op = rv.owner.op
+    dist_params = rv.owner.op.dist_params(rv.owner)
     if isinstance(op, Bernoulli):
         return (0, 1)
     elif isinstance(op, Categorical):
-        p_param = rv.owner.inputs[3]
+        [p_param] = dist_params
         return tuple(range(pt.get_vector_length(p_param)))
     elif isinstance(op, DiscreteUniform):
-        lower, upper = constant_fold(rv.owner.inputs[3:])
+        lower, upper = constant_fold(dist_params)
         return tuple(np.arange(lower, upper + 1))
     elif isinstance(op, DiscreteMarkovChain):
-        P = rv.owner.inputs[0]
+        P, *_ = dist_params
         return tuple(range(pt.get_vector_length(P[-1])))
 
     raise NotImplementedError(f"Cannot compute domain for op {op}")
@@ -827,11 +839,15 @@ def marginal_hmm_logp(op, values, *inputs, **kwargs):
     # This is the "forward algorithm", alpha_t = p(y | s_t) * sum_{s_{t-1}}(p(s_t | s_{t-1}) * alpha_{t-1})
     # We do it entirely in logs, though.
 
-    # To compute the prior probabilities of each state, we evaluate the logp of the domain (all possible states) under
-    # the initial distribution. This is robust to everything the user can throw at it.
-    batch_logp_init_dist = pt.vectorize(lambda x: logp(init_dist_, x), "()->()")(
-        batch_chain_value[..., 0]
-    )
+    # To compute the prior probabilities of each state, we evaluate the logp of the domain (all possible states)
+    # under the initial distribution. This is robust to everything the user can throw at it.
+    init_dist_value = init_dist_.type()
+    logp_init_dist = logp(init_dist_, init_dist_value)
+    # There is a degerate batch dim for lags=1 (the only supported case),
+    # that we have to work around, by expanding the batch value and then squeezing it out of the logp
+    batch_logp_init_dist = vectorize_graph(
+        logp_init_dist, {init_dist_value: batch_chain_value[:, None, ..., 0]}
+    ).squeeze(1)
     log_alpha_init = batch_logp_init_dist + batch_logp_emissions[..., 0]
 
     def step_alpha(logp_emission, log_alpha, log_P):

pymc_experimental/model/transforms/autoreparam.py

@@ -7,6 +7,8 @@
 import pytensor
 import pytensor.tensor as pt
 import scipy.special
+from pymc.distributions import SymbolicRandomVariable
+from pymc.exceptions import NotConstantValueError
 from pymc.logprob.transforms import Transform
 from pymc.model.fgraph import (
     ModelDeterministic,
@@ -17,7 +19,7 @@
     model_from_fgraph,
     model_named,
 )
-from pymc.pytensorf import toposort_replace
+from pymc.pytensorf import constant_fold, toposort_replace
 from pytensor.graph.basic import Apply, Variable
 from pytensor.tensor.random.op import RandomVariable
 
@@ -170,14 +172,16 @@ def vip_reparam_node(
     dims: List[Variable],
     transform: Optional[Transform],
 ) -> Tuple[ModelDeterministic, ModelNamed]:
-    if not isinstance(node.op, RandomVariable):
+    if not isinstance(node.op, RandomVariable | SymbolicRandomVariable):
         raise TypeError("Op should be RandomVariable type")
-    size = node.inputs[1]
-    if not isinstance(size, pt.TensorConstant):
+    rv = node.default_output()
+    try:
+        [rv_shape] = constant_fold([rv.shape])
+    except NotConstantValueError:
         raise ValueError("Size should be static for autoreparametrization.")
     logit_lam_ = pytensor.shared(
-        np.zeros(size.data),
-        shape=size.data,
+        np.zeros(rv_shape),
+        shape=rv_shape,
         name=f"{name}::lam_logit__",
     )
     logit_lam = model_named(logit_lam_, *dims)
@@ -216,7 +220,7 @@ def _(
     transform: Optional[Transform],
     lam: pt.TensorVariable,
 ) -> ModelDeterministic:
-    rng, size, _, loc, scale = node.inputs
+    rng, size, loc, scale = node.inputs
     if transform is not None:
         raise NotImplementedError("Reparametrization of Normal with Transform is not implemented")
     vip_rv_ = pm.Normal.dist(

pymc_experimental/tests/model/test_marginal_model.py

@@ -7,10 +7,10 @@
 import pytensor.tensor as pt
 import pytest
 from arviz import InferenceData, dict_to_dataset
-from pymc import ImputationWarning, inputvars
 from pymc.distributions import transforms
 from pymc.logprob.abstract import _logprob
 from pymc.model.fgraph import fgraph_from_model
+from pymc.pytensorf import inputvars
 from pymc.util import UNSET
 from scipy.special import log_softmax, logsumexp
 from scipy.stats import halfnorm, norm
@@ -45,9 +45,7 @@ def disaster_model():
         early_rate = pm.Exponential("early_rate", 1.0, initval=3)
         late_rate = pm.Exponential("late_rate", 1.0, initval=1)
         rate = pm.math.switch(switchpoint >= years, early_rate, late_rate)
-        with pytest.warns(ImputationWarning), pytest.warns(
-            RuntimeWarning, match="invalid value encountered in cast"
-        ):
+        with pytest.warns(Warning):
             disasters = pm.Poisson("disasters", rate, observed=disaster_data)
 
     return disaster_model, years
@@ -294,7 +292,7 @@ def test_recover_marginals_basic():
 
     with m:
         prior = pm.sample_prior_predictive(
-            samples=20,
+            draws=20,
             random_seed=rng,
             return_inferencedata=False,
         )
@@ -337,7 +335,7 @@ def test_recover_marginals_coords():
 
     with m:
         prior = pm.sample_prior_predictive(
-            samples=20,
+            draws=20,
             random_seed=rng,
             return_inferencedata=False,
         )
@@ -364,7 +362,7 @@ def test_recover_batched_marginal():
 
     with m:
         prior = pm.sample_prior_predictive(
-            samples=20,
+            draws=20,
             random_seed=rng,
             return_inferencedata=False,
         )
@@ -394,7 +392,7 @@ def test_nested_recover_marginals():
 
     with m:
         prior = pm.sample_prior_predictive(
-            samples=20,
+            draws=20,
             random_seed=rng,
             return_inferencedata=False,
         )
@@ -565,7 +563,7 @@ def test_marginalized_transforms(transform, expected_warning):
             w=w,
             comp_dists=pm.HalfNormal.dist([1, 2, 3]),
             initval=initval,
-            transform=transform,
+            default_transform=transform,
         )
         y = pm.Normal("y", 0, sigma, observed=data)
 
@@ -583,7 +581,7 @@ def test_marginalized_transforms(transform, expected_warning):
                 ),
             ),
             initval=initval,
-            transform=transform,
+            default_transform=transform,
         )
         y = pm.Normal("y", 0, sigma, observed=data)
 
@@ -710,12 +708,7 @@ def test_marginalized_hmm_normal_emission(batch_chain, batch_emission):
 
 @pytest.mark.parametrize(
     "categorical_emission",
-    [
-        False,
-        # Categorical has a core vector parameter,
-        # so it is not possible to build a graph that uses elemwise operations exclusively
-        pytest.param(True, marks=pytest.mark.xfail(raises=NotImplementedError)),
-    ],
+    [False, True],
 )
 def test_marginalized_hmm_categorical_emission(categorical_emission):
     """Example adapted from https://www.youtube.com/watch?v=9-sPm4CfcD0"""

pymc_experimental/tests/statespace/test_SARIMAX.py

@@ -331,7 +331,7 @@ def test_interpretable_raises_if_d_nonzero():
 
 def test_interpretable_states_are_interpretable(arima_mod_interp, pymc_mod_interp):
     with pymc_mod_interp:
-        prior = pm.sample_prior_predictive(samples=10)
+        prior = pm.sample_prior_predictive(draws=10)
 
     prior_outputs = arima_mod_interp.sample_unconditional_prior(prior)
     ar_lags = prior.prior.coords["ar_lag"].values - 1

pymc_experimental/tests/statespace/test_VARMAX.py

@@ -71,7 +71,7 @@ def pymc_mod(varma_mod, data):
 @pytest.fixture(scope="session")
 def idata(pymc_mod, rng):
     with pymc_mod:
-        idata = pm.sample_prior_predictive(samples=10, random_seed=rng)
+        idata = pm.sample_prior_predictive(draws=10, random_seed=rng)
 
     return idata
 

pymc_experimental/tests/statespace/test_distributions.py

@@ -126,7 +126,7 @@ def test_lgss_distribution_from_steps(output_name, ss_mod_me, pymc_model_2):
         latent_states, obs_states = LinearGaussianStateSpace("states", *matrices, steps=100)
         # pylint: enable=unpacking-non-sequence
 
-        idata = pm.sample_prior_predictive(samples=10)
+        idata = pm.sample_prior_predictive(draws=10)
         delete_rvs_from_model(["states_latent", "states_observed", "states_combined"])
 
     assert idata.prior.coords["states_latent_dim_0"].shape == (101,)
@@ -144,7 +144,7 @@ def test_lgss_distribution_with_dims(output_name, ss_mod_me, pymc_model_2):
             "states", *matrices, steps=100, dims=[TIME_DIM, ALL_STATE_DIM, OBS_STATE_DIM]
         )
         # pylint: enable=unpacking-non-sequence
-        idata = pm.sample_prior_predictive(samples=10)
+        idata = pm.sample_prior_predictive(draws=10)
         delete_rvs_from_model(["states_latent", "states_observed", "states_combined"])
 
     assert idata.prior.coords["time"].shape == (101,)
@@ -198,7 +198,7 @@ def test_lgss_with_time_varying_inputs(output_name, rng):
             dims=[TIME_DIM, ALL_STATE_DIM, OBS_STATE_DIM]
         )
         # pylint: enable=unpacking-non-sequence
-        idata = pm.sample_prior_predictive(samples=10)
+        idata = pm.sample_prior_predictive(draws=10)
 
     assert idata.prior.coords["time"].shape == (10,)
     assert all(

pymc_experimental/tests/statespace/test_statespace.py

@@ -135,7 +135,7 @@ def exog_pymc_mod(exog_ss_mod, rng):
 def idata(pymc_mod, rng):
     with pymc_mod:
         idata = pm.sample(draws=10, tune=0, chains=1, random_seed=rng)
-        idata_prior = pm.sample_prior_predictive(samples=10, random_seed=rng)
+        idata_prior = pm.sample_prior_predictive(draws=10, random_seed=rng)
 
     idata.extend(idata_prior)
     return idata
@@ -145,7 +145,7 @@ def idata(pymc_mod, rng):
 def idata_exog(exog_pymc_mod, rng):
     with exog_pymc_mod:
         idata = pm.sample(draws=10, tune=0, chains=1, random_seed=rng)
-        idata_prior = pm.sample_prior_predictive(samples=10, random_seed=rng)
+        idata_prior = pm.sample_prior_predictive(draws=10, random_seed=rng)
     idata.extend(idata_prior)
     return idata
 

pymc_experimental/tests/statespace/test_structural.py

@@ -756,7 +756,7 @@ def test_filter_scans_time_varying_design_matrix(rng):
         x0, P0, c, d, T, Z, R, H, Q = mod.unpack_statespace()
         pm.Deterministic("Z", Z)
 
-        prior = pm.sample_prior_predictive(samples=10)
+        prior = pm.sample_prior_predictive(draws=10)
 
     prior_Z = prior.prior.Z.values
     assert prior_Z.shape == (1, 10, 100, 1, 2)
@@ -790,7 +790,7 @@ def test_extract_components_from_idata(rng):
         mod.build_statespace_graph(y)
 
         x0, P0, c, d, T, Z, R, H, Q = mod.unpack_statespace()
-        prior = pm.sample_prior_predictive(samples=10)
+        prior = pm.sample_prior_predictive(draws=10)
 
     filter_prior = mod.sample_conditional_prior(prior)
     comp_prior = mod.extract_components_from_idata(filter_prior)

requirements.txt

@@ -1,2 +1,2 @@
-pymc>=5.13.0
+pymc>=5.16.1
 scikit-learn