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Fix for divide by zero in psislw call from Pathfinder #674

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Fix for divide by zero in psislw call from Pathfinder #674

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12 changes: 6 additions & 6 deletions pymc_extras/inference/pathfinder/importance_sampling.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,7 @@

import arviz as az
import numpy as np
import xarray as xr

from numpy.typing import NDArray
from scipy.special import logsumexp
Expand Down Expand Up @@ -99,12 +100,11 @@ def importance_sampling(
"ignore", category=RuntimeWarning, message="overflow encountered in exp"
)
match method:
case "psis":
replace = False
logiw, pareto_k = az.psislw(logiw)
case "psir":
replace = True
logiw, pareto_k = az.psislw(logiw)
case "psis" | "psir":
replace = method == "psir"
logiw_da, pareto_k_da = az.psislw(xr.DataArray(logiw, dims="__sample__"))
logiw = logiw_da.values
pareto_k = float(pareto_k_da)
case "identity":
replace = False
pareto_k = None
Expand Down
4 changes: 4 additions & 0 deletions tests/pathfinder/test_pathfinder.py
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Expand Up @@ -237,6 +237,10 @@ def test_pathfinder_importance_sampling(importance_sampling):
assert idata.posterior["tau"].shape == (1, num_draws)
assert idata.posterior["theta"].shape == (1, num_draws, 8)

if importance_sampling in ("psis", "psir"):
pareto_k = idata.sample_stats["pareto_k"].item()
assert isinstance(pareto_k, float) and np.isfinite(pareto_k)


def test_pathfinder_initvals():
# Run a model with an ordered transform that will fail unless initvals are in place
Expand Down
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