the centering term was wrong (#3806)

HVoltBb · web-flow · commit 48b8749b3662 · 2020-02-17T17:04:07.000-03:00
The centering term was wrong. I was getting infs for the marginal log likelihood from my model and I dug into the code and found the centering term was wrong. The original term was too large, causing overflows unnecessarily.
diff --git a/pymc3/smc/smc.py b/pymc3/smc/smc.py
@@ -191,7 +191,7 @@ def update_weights_beta(self):
             log_weights_un = (new_beta - old_beta) * self.likelihoods
             log_weights = log_weights_un - logsumexp(log_weights_un)
 
-        ll_max = np.max(self.likelihoods)
+        ll_max = np.max(log_weights_un)
         self.model.marginal_log_likelihood += ll_max + np.log(
             np.exp(log_weights_un - ll_max).mean()
         )

Original file line number	Diff line number	Diff line change
`@@ -191,7 +191,7 @@ def update_weights_beta(self):`
`191`	`191`	`log_weights_un = (new_beta - old_beta) * self.likelihoods`
`192`	`192`	`log_weights = log_weights_un - logsumexp(log_weights_un)`
`193`	`193`
`194`		`- ll_max = np.max(self.likelihoods)`
	`194`	`+ ll_max = np.max(log_weights_un)`
`195`	`195`	`self.model.marginal_log_likelihood += ll_max + np.log(`
`196`	`196`	`np.exp(log_weights_un - ll_max).mean()`
`197`	`197`	`)`