Blackbox likelihood example doesn't work

I’m trying to run the blackbox likelihood example, but am experiencing difficulties. See code below…

I’m using Python 3.8.3, pymc3 3.9.2, theano 1.0.4
pymc3 and theano are installed via pip

import numpy as np
import pymc3 as pm
import theano
import theano.tensor as tt
theano.config.exception_verbosity='high'


def line(theta, x, *args, **kwds):
    p_arr = np.array(theta)
    return p_arr[1] + x * p_arr[0]


def my_loglike(theta, x, data, sigma):
    """
    A Gaussian log-likelihood function for a model with parameters given in theta
    """

    model = line(theta, x)
    return -(0.5/sigma**2)*np.sum((data - model)**2)


class LogLike(tt.Op):
    itypes = [tt.dvector] # expects a vector of parameter values when called
    otypes = [tt.dscalar] # outputs a single scalar value (the log likelihood)

    def __init__(self, loglike, data, x, sigma):

        # add inputs as class attributes
        self.likelihood = loglike
        self.x = x
        self.data=data
        self.sigma=sigma

    def perform(self, node, inputs, outputs):
        # the method that is used when calling the Op
        theta, = inputs  # this will contain my variables

        # call the log-likelihood function
        logl = self.likelihood(theta, self.x, self.data, self.sigma)
        outputs[0][0] = np.array(logl)
           

# set up our data
N = 10  # number of data points
sigma = 1.  # standard deviation of noise
x = np.linspace(0., 9., N)

mtrue = 0.4  # true gradient
ctrue = 3.   # true y-intercept

truemodel = line([mtrue, ctrue], x)

# make data
np.random.seed(716742)  # set random seed, so the data is reproducible each time
data = sigma*np.random.randn(N) + truemodel

ndraws = 3000  # number of draws from the distribution
nburn = 1000   # number of "burn-in points" (which we'll discard)

logl = LogLike(my_loglike, data, x, sigma)

with pm.Model():
    # your external function takes two parameters, a and b, with Uniform priors
    m = pm.Uniform('m', lower=-10., upper=10.)
    c = pm.Uniform('c', lower=-10., upper=10.)

    # convert m and c to a tensor vector
    theta = tt.as_tensor_variable([m, c])

    # use a DensityDist (use a lamdba function to "call" the Op)
    pm.DensityDist('likelihood', lambda v: logl(v), observed={'v': theta})
    pm.sample(ndraws, tune=nburn, discard_tuned_samples=True, start={'m':0.4, 'c':3})

I get the following stack trace after the sampling:

Auto-assigning NUTS sampler...
Initializing NUTS using jitter+adapt_diag...
Initializing NUTS failed. Falling back to elementwise auto-assignment.
Multiprocess sampling (2 chains in 2 jobs)
CompoundStep
>Slice: [c]
>Slice: [m]
Could not pickle model, sampling singlethreaded.
Sequential sampling (2 chains in 1 job)
CompoundStep
>Slice: [c]
>Slice: [m]

 100.00% [4000/4000 00:03<00:00 Sampling chain 0, 0 divergences]

 100.00% [4000/4000 00:03<00:00 Sampling chain 1, 0 divergences]
Sampling 2 chains for 1_000 tune and 3_000 draw iterations (2_000 + 6_000 draws total) took 9 seconds.
---------------------------------------------------------------------------
MissingInputError                         Traceback (most recent call last)
<ipython-input-8-2463a9902c60> in <module>
     72     # use a DensityDist (use a lamdba function to "call" the Op)
     73     pm.DensityDist('likelihood', lambda v: logl(v), observed={'v': theta})
---> 74     pm.sample(ndraws, tune=nburn, discard_tuned_samples=True, start={'m':0.4, 'c':3})

~/miniconda3/envs/dev3/lib/python3.8/site-packages/pymc3/sampling.py in sample(draws, step, init, n_init, start, trace, chain_idx, chains, cores, tune, progressbar, model, random_seed, discard_tuned_samples, compute_convergence_checks, callback, return_inferencedata, idata_kwargs, **kwargs)
    597         if idata_kwargs:
    598             ikwargs.update(idata_kwargs)
--> 599         idata = arviz.from_pymc3(trace, **ikwargs)
    600 
    601     if compute_convergence_checks:

~/miniconda3/envs/dev3/lib/python3.8/site-packages/arviz/data/io_pymc3.py in from_pymc3(trace, prior, posterior_predictive, log_likelihood, coords, dims, model, save_warmup)
    521     InferenceData
    522     """
--> 523     return PyMC3Converter(
    524         trace=trace,
    525         prior=prior,

~/miniconda3/envs/dev3/lib/python3.8/site-packages/arviz/data/io_pymc3.py in __init__(self, trace, prior, posterior_predictive, log_likelihood, predictions, coords, dims, model, save_warmup)
    157             self.dims = {**model_dims, **self.dims}
    158 
--> 159         self.observations, self.multi_observations = self.find_observations()
    160 
    161     def find_observations(self) -> Tuple[Optional[Dict[str, Var]], Optional[Dict[str, Var]]]:

~/miniconda3/envs/dev3/lib/python3.8/site-packages/arviz/data/io_pymc3.py in find_observations(self)
    170             elif hasattr(obs, "data"):
    171                 for key, val in obs.data.items():
--> 172                     multi_observations[key] = val.eval() if hasattr(val, "eval") else val
    173         return observations, multi_observations
    174 

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/gof/graph.py in eval(self, inputs_to_values)
    520         inputs = tuple(sorted(inputs_to_values.keys(), key=id))
    521         if inputs not in self._fn_cache:
--> 522             self._fn_cache[inputs] = theano.function(inputs, self)
    523         args = [inputs_to_values[param] for param in inputs]
    524 

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/compile/function.py in function(inputs, outputs, mode, updates, givens, no_default_updates, accept_inplace, name, rebuild_strict, allow_input_downcast, profile, on_unused_input)
    304         # note: pfunc will also call orig_function -- orig_function is
    305         #      a choke point that all compilation must pass through
--> 306         fn = pfunc(params=inputs,
    307                    outputs=outputs,
    308                    mode=mode,

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/compile/pfunc.py in pfunc(params, outputs, mode, updates, givens, no_default_updates, accept_inplace, name, rebuild_strict, allow_input_downcast, profile, on_unused_input, output_keys)
    481         inputs.append(si)
    482 
--> 483     return orig_function(inputs, cloned_outputs, mode,
    484                          accept_inplace=accept_inplace, name=name,
    485                          profile=profile, on_unused_input=on_unused_input,

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/compile/function_module.py in orig_function(inputs, outputs, mode, accept_inplace, name, profile, on_unused_input, output_keys)
   1830     try:
   1831         Maker = getattr(mode, 'function_maker', FunctionMaker)
-> 1832         m = Maker(inputs,
   1833                   outputs,
   1834                   mode,

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/compile/function_module.py in __init__(self, inputs, outputs, mode, accept_inplace, function_builder, profile, on_unused_input, fgraph, output_keys, name)
   1484             # make the fgraph (copies the graph, creates NEW INPUT AND
   1485             # OUTPUT VARIABLES)
-> 1486             fgraph, additional_outputs = std_fgraph(inputs, outputs,
   1487                                                     accept_inplace)
   1488             fgraph.profile = profile

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/compile/function_module.py in std_fgraph(input_specs, output_specs, accept_inplace)
    178     orig_outputs = [spec.variable for spec in output_specs] + updates
    179 
--> 180     fgraph = gof.fg.FunctionGraph(orig_inputs, orig_outputs,
    181                                   update_mapping=update_mapping)
    182 

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/gof/fg.py in __init__(self, inputs, outputs, features, clone, update_mapping)
    173 
    174         for output in outputs:
--> 175             self.__import_r__(output, reason="init")
    176         for i, output in enumerate(outputs):
    177             output.clients.append(('output', i))

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/gof/fg.py in __import_r__(self, variable, reason)
    344         # Imports the owners of the variables
    345         if variable.owner and variable.owner not in self.apply_nodes:
--> 346                 self.__import__(variable.owner, reason=reason)
    347         elif (variable.owner is None and
    348                 not isinstance(variable, graph.Constant) and

~/miniconda3/envs/dev3/lib/python3.8/site-packages/theano/gof/fg.py in __import__(self, apply_node, check, reason)
    389                                      "for more information on this error."
    390                                      % (node.inputs.index(r), str(node)))
--> 391                         raise MissingInputError(error_msg, variable=r)
    392 
    393         for node in new_nodes:

MissingInputError: Input 0 of the graph (indices start from 0), used to compute sigmoid(c_interval__), was not provided and not given a value. Use the Theano flag exception_verbosity='high', for more information on this error.

Sampling finished successfully for me on PyMC 3.8 and Theano 1.0.4. I’ve had errors like these come up quite a bit when I wasn’t careful enough giving variables unique names. Does this still happen after restarting with a fresh kernel?

Yes. Tried creating new conda Env on my Mac, tried from a docker container, both gave the same error. When I turn off the convergence check in the sample call there is no error.

What OS, pymc3 version do you have. I don’t know why it would work for you and not me.

The not working should be independent on pymc3 version and depend on ArviZ version. The error is triggered by the conversion to InferenceData to calculate ess and rhat at the end of sampling, thus as you mentioned, it does work without convergence checks.

As I mentioned in the github issue with the same question, I’d recommend using pm.Potential instead of densitydist for this.

We are trying to understand the root of the issue, having parameters passed as observed argument strikes me as very odd.

1 Like

I opened a ticket about this here: https://github.com/pymc-devs/pymc3/issues/4002

There are a number of issues all tangled together here, including:

  1. The use of cython and extra packages means that this notebook does not build in our environment.
  2. The use of cython means that this notebook is machine architecture and linux (and distro?) specific, and there’s been no attempt to make it portable.
  3. The use of random variables rather than (at least temporarily) constant values for “observations” is questionable.

To comment on passing non-constant values as an argument for observed, I find this to actually be a very useful feature. I’ve used PyMC3 for ODE models in which I know that a certain state variable should usually be less than some threshold which is easily accommodated with a half-normal or exponential prior. It’s perhaps a little easier to explain to a new user and faster to implement (for simple things) than Potential.