Creating A custom step function

junpenglao · December 6, 2021, 8:17am

There is also some information in Compound Steps in Sampling — PyMC3 3.11.4 documentation

In general, you can inherent from ArrayStep, and implemented the astep method:

pymc-devs/pymc/blob/95bd5e59f940cfbd4076dd21d93b0e2aec270add/pymc/step_methods/arraystep.py#L174-L178

    
      
          @abstractmethod
          def astep(
              self, apoint: RaveledVars, point: PointType, *args
          ) -> Union[RaveledVars, Tuple[RaveledVars, StatsType]]:
              """Perform a single sample step in a raveled and concatenated parameter space."""

You can take a look at some older PR where a new MCMC step method is added: Add DEMetropolisZ stepper by michaelosthege · Pull Request #3784 · pymc-devs/pymc · GitHub (be aware of the style and syntax change in v4 tho)

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Creating A custom step function

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