Examples for SMC with streaming data?

I have timeseries data that I’d like to model with pm.sample_smc() by first getting the posterior given the data at timepoint 1, then pass that posterior as inits for a next run that has data for timepoints 1-3, then repeat until the model has “seen” all the data. Does anyone have any existing code to facilitate this workflow?

1 Like

No but I’ve wanted to test that for a while. How fast is it?

Would be good to avoid recompiling the same functions in every call (if you set the data as mutable)

1 Like

Working on my own code now; is there a straightforward way to extract unconstrained representation of draws from a trace object?

nm, figured out the key was idata_kwargs={'include_transformed': True}

1 Like

Sneak peek at progress:

Photoplethsymography data; uncertainty sufficiently low/accurate that the green true-value line largely hides the estimate uncertainty ribbon :muscle:


That’s really cool!

1 Like