Register the overloads added by CustomDist in worker processes

pymc/smc/sampling.py

@@ -36,6 +36,8 @@
 
 from pymc.backends.arviz import dict_to_dataset, to_inference_data
 from pymc.backends.base import MultiTrace
+from pymc.distributions.distribution import CustomDistRV, _support_point
+from pymc.logprob.abstract import _logcdf, _logprob
 from pymc.model import Model, modelcontext
 from pymc.sampling.parallel import _cpu_count
 from pymc.smc.kernels import IMH
@@ -383,11 +385,18 @@ def run_chains(chains, progressbar, params, random_seed, kernel_kwargs, cores):
             # main process and our worker functions
             _progress = manager.dict()
 
+            # check if model contains CustomDistributions defined without dist argument
+            custom_methods = _find_custom_methods(params[3])
+
             # "manually" (de)serialize params before/after multiprocessing
             params = tuple(cloudpickle.dumps(p) for p in params)
             kernel_kwargs = {key: cloudpickle.dumps(value) for key, value in kernel_kwargs.items()}
 
-            with ProcessPoolExecutor(max_workers=cores) as executor:
+            with ProcessPoolExecutor(
+                max_workers=cores,
+                initializer=_register_custom_methods,
+                initargs=(custom_methods,),
+            ) as executor:
                 for c in range(chains):  # iterate over the jobs we need to run
                     # set visible false so we don't have a lot of bars all at once:
                     task_id = progress.add_task(f"Chain {c}", status="Stage: 0 Beta: 0")
@@ -414,3 +423,26 @@ def run_chains(chains, progressbar, params, random_seed, kernel_kwargs, cores):
                         )
 
         return tuple(cloudpickle.loads(r.result()) for r in futures)
+
+
+def _find_custom_methods(model):
+    custom_methods = {}
+    for rv in model.basic_RVs:
+        rv_type = rv.owner.op
+        cls = rv_type.__class__
+        if isinstance(rv_type, CustomDistRV):
+            custom_methods[cloudpickle.dumps(cls)] = (
+                cloudpickle.dumps(_logprob.registry[cls]),
+                cloudpickle.dumps(_logcdf.registry[cls]),
+                cloudpickle.dumps(_support_point.registry[cls]),
+            )
+
+    return custom_methods
+
+
+def _register_custom_methods(custom_methods):
+    for cls, (logprob, logcdf, support_point) in custom_methods.items():
+        cls = cloudpickle.loads(cls)
+        _logprob.register(cls, cloudpickle.loads(logprob))
+        _logcdf.register(cls, cloudpickle.loads(logcdf))
+        _support_point.register(cls, cloudpickle.loads(support_point))

tests/smc/test_smc.py

@@ -133,6 +133,18 @@ def test_unobserved_categorical(self):
 
         assert np.all(np.median(trace["mu"], axis=0) == [1, 2])
 
+    def test_parallel_custom(self):
+        def _logp(value, mu):
+            return -((value - mu) ** 2)
+
+        def _random(mu, rng=None, size=None):
+            return rng.normal(loc=mu, scale=1, size=size)
+
+        with pm.Model():
+            mu = pm.CustomDist("mu", 0, logp=_logp, random=_random)
+            pm.CustomDist("y", mu, logp=_logp, class_name="", random=_random, observed=[1, 2])
+            pm.sample_smc(draws=6, cores=2)
+
     def test_marginal_likelihood(self):
         """
         Verifies that the log marginal likelihood function