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Compute Metropolis average accept probability with logsumexp #7783

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Compute Metropolis average accept probability with logsumexp #7783

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eac0b79
Compute accept probability with `logsumexp`
jessegrabowski May 15, 2025
481342a
`accept_rate_iter` should always be an array
jessegrabowski May 15, 2025
0827196
Update pymc/step_methods/metropolis.py
jessegrabowski May 21, 2025
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6 changes: 4 additions & 2 deletions pymc/step_methods/metropolis.py
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Original file line number Diff line number Diff line change
Expand Up @@ -308,16 +308,18 @@ def astep(self, q0: RaveledVars) -> tuple[RaveledVars, StatsType]:
else:
accept_rate = self.delta_logp(q, q0d)
q, accepted = metrop_select(accept_rate, q, q0d, rng=self.rng)
self.accept_rate_iter = accept_rate
self.accept_rate_iter[:] = accept_rate
self.accepted_iter[0] = accepted
self.accepted_sum += accepted

self.steps_until_tune -= 1

log_N = np.log(self.accept_rate_iter.shape[0])

stats = {
"tune": self.tune,
"scaling": np.mean(self.scaling),
"accept": np.mean(np.exp(self.accept_rate_iter)),
"accept": np.exp(scipy.special.logsumexp(self.accept_rate_iter) - log_N),
"accepted": np.mean(self.accepted_iter),
}

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