Thanks for pointing out @junpenglao. I checked if they are relevant and I could not find a solution to my question from those topics.
May be I’m too dumb understand the solution reading those posts, I appreciate if you can help me to understand why this error occurs?
The NaN returns when calling step_function during the approximation. Therefore, after checking if the e is NaN PyMC3 throws this error.
I tried using small learning rate, and check for this initialization as well.
Do you have any other suggestions @junpenglao ?