LKJ prior doesn't seem to work in PyMC v4, raises TypeError

[martiningram]

Hi all,

Description of your problem

I'm trying to fit a model with an LKJ prior on the covariance matrix using PyMC v4. I'm running the example notebook, available in the repository here; the only change I've made is to switch from

import pymc3 as pm

to

import pymc as pm

All runs fine, until we get to this line:

with pm.Model() as m:
    packed_L = pm.LKJCholeskyCov("packed_L", n=2, eta=2.0, sd_dist=pm.Exponential.dist(1.0))

This gives the following error:

TypeError                                 Traceback (most recent call last)
/tmp/ipykernel_55195/2070945655.py in <module>
      1 with pm.Model() as m:
----> 2     packed_L = pm.LKJCholeskyCov("packed_L", n=2, eta=2.0, sd_dist=pm.Exponential.dist(1.0))

~/projects/pymc3_vs_stan/pymc/pymc/distributions/multivariate.py in LKJCholeskyCov(name, eta, n, sd_dist, compute_corr, store_in_trace, *args, **kwargs)
   1390     """
   1391     # compute Cholesky decomposition
-> 1392     packed_chol = _LKJCholeskyCov(name, eta=eta, n=n, sd_dist=sd_dist)
   1393     if not compute_corr:
   1394         return packed_chol

~/projects/pymc3_vs_stan/pymc/pymc/distributions/distribution.py in __new__(cls, name, rng, dims, initval, observed, total_size, transform, *args, **kwargs)
    253         # Create the RV and process dims and observed to determine
    254         # a shape by which the created RV may need to be resized.
--> 255         rv_out, dims, observed, resize_shape = _make_rv_and_resize_shape(
    256             cls=cls, dims=dims, model=model, observed=observed, args=args, rng=rng, **kwargs
    257         )

~/projects/pymc3_vs_stan/pymc/pymc/distributions/distribution.py in _make_rv_and_resize_shape(cls, dims, model, observed, args, **kwargs)
    152     # Create the RV without dims information, because that's not something tracked at the Aesara level.
    153     # If necessary we'll later replicate to a different size implied by already known dims.
--> 154     rv_out = cls.dist(*args, **kwargs)
    155     ndim_actual = rv_out.ndim
    156     resize_shape = None

TypeError: dist() missing 1 required positional argument: 'dist_params'

Versions and main components

• PyMC/PyMC3 Version: v4.0.0b2
• Aesara/Theano Version: 2.3.2
• Python Version: 3.8.12
• Operating system: Ubuntu
• How did you install PyMC/PyMC3: (conda/pip) pip install -e . from the repo

Let me know if you have any questions. Thanks for your help!

Best wishes,
Martin

[twiecki]

Unfortunately LKJ is still missing, there's an unfinished PR that we need someone to push over the finish line: #4784

[martiningram]

I see, thanks Thomas! I'll wait for that PR then.