Hi All I’ve been developing a Poisson Regression model with the capabilities to incrementally update the posterior as new data becomes available (online learning). I’ve been using @davidbrochart Updating Priors notebook as a guide for how to do this in pymc3. I’ve attached an example to this post. …

I had a look at your code. Unfortunately, I dont see much more room to improve the speed, as the Interpolation rv always need to reinitialized, and the bottom neck in the evaluation of scipy Spline smooth function is also difficult to improve without rewriting everything in theano. Alternatively, i…

Performance speedup for updating posterior with new data

Questions

tomkov February 8, 2021, 9:35am 8

Thank you, it should work.

Another quick question (maybe off-topic), is pm.Normal initialised this way (with shape>1) equal to Multivariate normal with only main diagonal in pymc3?

Topic		Replies	Views
Issue using pm.Interpolated() to update priors in online updating loop Questions	1	1231	August 6, 2018
Feeding Posterior back in as Prior (updating a model) Development	3	2882	August 27, 2017
Can traces be used as priors? Questions	5	2400	September 12, 2019
Drawing from posterior of a Multivariate Distribution Questions	10	1644	December 22, 2018
Problem in post predictive sampling in context of updating priors for sequential data Questions	3	507	December 21, 2018

Performance speedup for updating posterior with new data

Related topics