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DEMetropolis chains share tuned hyperparameter (with cores=1) #3731

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michaelosthege opened this issue Dec 15, 2019 · 0 comments · Fixed by #3732
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DEMetropolis chains share tuned hyperparameter (with cores=1) #3731

michaelosthege opened this issue Dec 15, 2019 · 0 comments · Fixed by #3732
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michaelosthege commented Dec 15, 2019 •
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Observations

When DEMetropolis is used with cores > 1 and chains > 1, all chains are independently tuned.

With cores=1 however, chains share the tuned scaling parameter and when it's updated during tuning, the adjustments by all chains are superimposed.

Cause

For DEMetropolis, the steppers are shallow-copied. This shallow-copy somehow keeps their tuned hyperparameter shared.

https://github.com/pymc-devs/pymc3/blob/dc9fd7251b34e9851308e91d622513ebe648f49e/pymc3/sampling.py#L933-L939
michaelosthege added a commit to michaelosthege/pymc that referenced this issue Dec 15, 2019
@michaelosthege
add regression test to demo pymc-devs#3731
df3e56e
michaelosthege added a commit to michaelosthege/pymc that referenced this issue Dec 15, 2019
@michaelosthege
return new array and don't touch original in tune method
cd239bb 
+ see pymc-devs#3731
@michaelosthege michaelosthege mentioned this issue Dec 15, 2019
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@michaelosthege michaelosthege changed the title Not all chains are created equal (with cores=1) DEMetropolis chains share tuned hyperparameter (with cores=1) Dec 15, 2019
@michaelosthege michaelosthege mentioned this issue Dec 15, 2019
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junpenglao pushed a commit that referenced this issue Dec 16, 2019
@michaelosthege @junpenglao
Change tune method to not act inplace plus more sampler stats (#3732)
9f5f676 
* add regression test to demo #3731

* return new array and don't touch original in tune method
+ see #3731

* add 'accepted' and 'scaling'  to (DE)Metropolis sampler stats

* use existing model.ndim property for code clarity
@sthagen sthagen mentioned this issue Dec 16, 2019
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Change tune method to not act inplace plus more sampler stats michaelosthege/pymc
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