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SMC: change scaling computation #3594

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Aug 17, 2019
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@aloctavodia aloctavodia commented Aug 16, 2019

Compute the scaling of the proposal distribution using the same function used by metropolis. This seems to work much more better than the previous function. Just as an example using the "two gaussian model" with n=20.

With the old scaling, the sampler generally get stuck at a single maximum :
old_n20

with the new scaling, while the solution is not perfect is much more better:

new_n20

This PR also include some minor refactoring changes not related to the computation of the scaling factor.

pymc3/smc/smc.py Outdated Show resolved Hide resolved
@aloctavodia aloctavodia merged commit 879cb49 into pymc-devs:master Aug 17, 2019
@aloctavodia aloctavodia deleted the smc_scaling branch August 17, 2019 16:12
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