Introduce valued variables in logprob IR

This avoids rewrites across conditioning points, that could break dependencies

Also extend logprob derivation of scans with multiple valued output types

Author: ricardoV94

pymc/logprob/abstract.py

@@ -40,7 +40,7 @@
 from collections.abc import Sequence
 from functools import singledispatch
 
-from pytensor.graph.op import Op
+from pytensor.graph import Apply, Op, Variable
 from pytensor.graph.utils import MetaType
 from pytensor.tensor import TensorVariable
 from pytensor.tensor.elemwise import Elemwise
@@ -165,3 +165,129 @@ def __init__(self, scalar_op, *args, **kwargs):
 
     def __str__(self):
         return f"Measurable{super().__str__()}"
+
+
+class ValuedRV(Op):
+    r"""Represents the association of a measurable variable and its value.
+
+    A `ValuedVariable` node represents the pair :math:`(Y, y)`, where  `y` the value at which :math:`Y`'s density
+    or probability mass function is evaluated.
+
+    The log-probability function takes such pairs as input, which makes these nodes in a graph an intermediate form
+    that serves to construct a log-probability from a model graph.
+
+
+    Notes
+    -----
+    The introduction of these operations achieves two goals:
+    1. Identify the conditioning points between multiple, potentially interdependent measurable variables,
+    and introduce the respective value variables in the IR graph.
+    2. Prevent automatic rewrites across conditioning points
+
+    About point 2. In the current framework, a RV logp cannot depend on a transformation of the value variable
+    of a second RV it depends on. While this is mathematically trivial, we don't have the machinery to achieve it.
+
+    The only case we do something like this is in the ad-hoc transform_value rewrite, but there we are
+    told explicitly what value variables must be transformed before being used in the density of dependent RVs.
+
+    For example ,the following is not supported:
+
+    ```python
+    x_log = pt.random.normal()
+    x = pt.exp(x_log)
+    y = pt.random.normal(loc=x_log)
+
+    x_value = pt.scalar()
+    y_value = pt.scalar()
+    conditional_logprob({x: x_value, y: y_value})
+    ```
+
+    Our framework doesn't know that the density of y should depend on a (log) transform of x_value.
+
+    Importantly, we need to prevent this limitation from being introduced automatically by our IR rewrites.
+    For example given the following:
+
+    ```python
+    a_base = pm.Normal.dist()
+    a = a_base * 5
+    b = pm.Normal.dist(a * 8)
+
+    a_value = scalar()
+    b_value = scalar()
+    conditional_logp({a: a_value, b: b_value})
+    ```
+
+    We do not want `b` to be rewritten as `pm.Normal.dist(a_base * 40)`, as it would then be disconnected from the
+    valued `a` associated with `pm.Normal.dist(a_base * 5). By introducing `ValuedRV` nodes the graph looks like:
+
+    ```python
+    a_base = pm.Normal.dist()
+    a = valued_rv(a_base * 5, a_value)
+    b = valued_rv(a * 8, b_value)
+    ```
+
+    Since, PyTensor doesn't know what to do with `ValuedRV` nodes, there is no risk of rewriting across them
+    and breaking the dependency of `b` on `a`. The new nodes isolate the graphs between conditioning points.
+    """
+
+    def make_node(self, rv, value):
+        assert isinstance(rv, Variable)
+        assert isinstance(value, Variable)
+        return Apply(self, [rv, value], [rv.type(name=rv.name)])
+
+    def perform(self, node, inputs, out):
+        raise NotImplementedError("ValuedVar should not be present in the final graph!")
+
+    def infer_shape(self, fgraph, node, input_shapes):
+        return [input_shapes[0]]
+
+
+valued_rv = ValuedRV()
+
+
+class PromisedValuedRV(Op):
+    r"""Marks a variable as being promised a valued variable that will only be assigned by the logprob method.
+
+    Some measurable RVs like Join/MakeVector can combine multiple, potentially interdependent, RVs into a single
+    composite valued node. Only in the logp function is this value split and sent to each component,
+    but we still want to achieve the same goals that ValuedRVs achieve during the IR rewrites.
+
+    Here is an example analogous to the one described in the docstrings of ValuedRV:
+
+    ```python
+    a_base = pt.random.normal()
+    a = a_base * 5
+    b = pt.random.normal(a * 8)
+    ab = pt.stack([a, b])
+    ab_value = pt.vector(shape=(2,))
+
+    logp(ab, ab_value)
+    ```
+
+    The density of `ab[2]` (that is `b`) depends on `ab_value[1]` and `ab_value[0] * 8`, but this is not apparent
+    in the IR representation because the values of `a` and `b` are merged together, and will only be split by the logp
+    function (see why next). For the time being we introduce a PromisedValue to isolate the graphs of a and b, and
+    freezing the dependency of `b` on `a` (not `a_base`).
+
+    Now why use a new Op and not just ValuedRV? Just for convenience! In the end we still want a function from
+    `ab_value` to `stack([logp(a), logp(b | a)])`, and if we split the values ahead of time we wouldn't know how to
+    stack them later (or even know that we were supposed to).
+
+    One final point, while this achieves the same goal as introducing ValuedRVs, it already constitutes a form of inference
+    (knowing how/when to measure Join/MakeVectors), so we have to do it as an IR rewrite. However, we have to do it
+    before any other rewrites, so you'll see that the related rewrites are registered in `early_measurable_ir_rewrites_db`.
+
+    """
+
+    def make_node(self, rv):
+        assert isinstance(rv, Variable)
+        return Apply(self, [rv], [rv.type(name=rv.name)])
+
+    def perform(self, node, inputs, out):
+        raise NotImplementedError("PromisedValuedRV should not be present in the final graph!")
+
+    def infer_shape(self, fgraph, node, input_shapes):
+        return [input_shapes[0]]
+
+
+promised_valued_rv = PromisedValuedRV()

pymc/logprob/basic.py

@@ -36,22 +36,17 @@
 
 import warnings
 
-from collections import deque
 from collections.abc import Sequence
 from typing import TypeAlias
 
 import numpy as np
 import pytensor.tensor as pt
 
-from pytensor import config
 from pytensor.graph.basic import (
     Constant,
     Variable,
     ancestors,
-    graph_inputs,
-    io_toposort,
 )
-from pytensor.graph.op import compute_test_value
 from pytensor.graph.rewriting.basic import GraphRewriter, NodeRewriter
 from pytensor.tensor.variable import TensorVariable
 
@@ -65,7 +60,7 @@
 from pymc.logprob.rewriting import cleanup_ir, construct_ir_fgraph
 from pymc.logprob.transform_value import TransformValuesRewrite
 from pymc.logprob.transforms import Transform
-from pymc.logprob.utils import rvs_in_graph
+from pymc.logprob.utils import get_related_valued_nodes, rvs_in_graph
 from pymc.pytensorf import replace_vars_in_graphs
 
 TensorLike: TypeAlias = Variable | float | np.ndarray
@@ -210,8 +205,9 @@ def normal_logp(value, mu, sigma):
     try:
         return _logprob_helper(rv, value, **kwargs)
     except NotImplementedError:
-        fgraph, _, _ = construct_ir_fgraph({rv: value})
-        [(ir_rv, ir_value)] = fgraph.preserve_rv_mappings.rv_values.items()
+        fgraph = construct_ir_fgraph({rv: value})
+        [ir_valued_var] = fgraph.outputs
+        [ir_rv, ir_value] = ir_valued_var.owner.inputs
         expr = _logprob_helper(ir_rv, ir_value, **kwargs)
         cleanup_ir([expr])
         if warn_rvs:
@@ -308,9 +304,10 @@ def normal_logcdf(value, mu, sigma):
         return _logcdf_helper(rv, value, **kwargs)
     except NotImplementedError:
         # Try to rewrite rv
-        fgraph, _, _ = construct_ir_fgraph({rv: value})
-        [ir_rv] = fgraph.outputs
-        expr = _logcdf_helper(ir_rv, value, **kwargs)
+        fgraph = construct_ir_fgraph({rv: value})
+        [ir_valued_rv] = fgraph.outputs
+        [ir_rv, ir_value] = ir_valued_rv.owner.inputs
+        expr = _logcdf_helper(ir_rv, ir_value, **kwargs)
         cleanup_ir([expr])
         if warn_rvs:
             _warn_rvs_in_inferred_graph(expr)
@@ -390,9 +387,10 @@ def icdf(rv: TensorVariable, value: TensorLike, warn_rvs=None, **kwargs) -> Tens
         return _icdf_helper(rv, value, **kwargs)
     except NotImplementedError:
         # Try to rewrite rv
-        fgraph, _, _ = construct_ir_fgraph({rv: value})
-        [ir_rv] = fgraph.outputs
-        expr = _icdf_helper(ir_rv, value, **kwargs)
+        fgraph = construct_ir_fgraph({rv: value})
+        [ir_valued_rv] = fgraph.outputs
+        [ir_rv, ir_value] = ir_valued_rv.owner.inputs
+        expr = _icdf_helper(ir_rv, ir_value, **kwargs)
         cleanup_ir([expr])
         if warn_rvs:
             _warn_rvs_in_inferred_graph(expr)
@@ -476,111 +474,96 @@ def conditional_logp(
     """
     warn_rvs, kwargs = _deprecate_warn_missing_rvs(warn_rvs, kwargs)
 
-    fgraph, rv_values, _ = construct_ir_fgraph(rv_values, ir_rewriter=ir_rewriter)
+    fgraph = construct_ir_fgraph(rv_values, ir_rewriter=ir_rewriter)
 
     if extra_rewrites is not None:
         extra_rewrites.rewrite(fgraph)
 
-    rv_remapper = fgraph.preserve_rv_mappings
-
-    # This is the updated random-to-value-vars map with the lifted/rewritten
-    # variables.  The rewrites are supposed to produce new
-    # `MeasurableOp`s whose variables are amenable to `_logprob`.
-    updated_rv_values = rv_remapper.rv_values
-
-    # Some rewrites also transform the original value variables. This is the
-    # updated map from the new value variables to the original ones, which
-    # we want to use as the keys in the final dictionary output
-    original_values = rv_remapper.original_values
-
-    # When a `_logprob` has been produced for a `MeasurableOp` node, all
-    # other references to it need to be replaced with its value-variable all
-    # throughout the `_logprob`-produced graphs.  The following `dict`
-    # cumulatively maintains remappings for all the variables/nodes that needed
-    # to be recreated after replacing `MeasurableOp` variables with their
-    # value-variables.  Since these replacements work in topological order, all
-    # the necessary value-variable replacements should be present for each
-    # node.
-    replacements = updated_rv_values.copy()
+    # Walk the graph from its inputs to its outputs and construct the
+    # log-probability
+    replacements = {}
 
     # To avoid cloning the value variables (or ancestors of value variables),
     # we map them to themselves in the `replacements` `dict`
     # (i.e. entries already existing in `replacements` aren't cloned)
     replacements.update(
-        {
-            v: v
-            for v in ancestors(rv_values.values())
-            if (not isinstance(v, Constant) and v not in replacements)
-        }
+        {v: v for v in ancestors(rv_values.values()) if not isinstance(v, Constant)}
     )
 
     # Walk the graph from its inputs to its outputs and construct the
     # log-probability
-    q = deque(fgraph.toposort())
-    logprob_vars = {}
-
-    while q:
-        node = q.popleft()
+    values_to_logprobs = {}
+    original_values = tuple(rv_values.values())
 
+    # TODO: This seems too convoluted, can we just replace all RVs by their values,
+    #  except for the fgraph outputs (for which we want to call _logprob on)?
+    for node in fgraph.toposort():
         if not isinstance(node.op, MeasurableOp):
             continue
 
-        q_values = [replacements[q_rv] for q_rv in node.outputs if q_rv in updated_rv_values]
+        valued_nodes = get_related_valued_nodes(node, fgraph)
 
-        if not q_values:
+        if not valued_nodes:
             continue
 
+        node_rvs = [valued_var.inputs[0] for valued_var in valued_nodes]
+        node_values = [valued_var.inputs[1] for valued_var in valued_nodes]
+        node_output_idxs = [
+            fgraph.outputs.index(valued_var.outputs[0]) for valued_var in valued_nodes
+        ]
+
         # Replace `RandomVariable`s in the inputs with value variables.
+        # Also, store the results in the `replacements` map for the nodes that follow.
+        for node_rv, node_value in zip(node_rvs, node_values):
+            replacements[node_rv] = node_value
+
         remapped_vars = replace_vars_in_graphs(
-            graphs=q_values + list(node.inputs),
+            graphs=node_values + list(node.inputs),
             replacements=replacements,
         )
-        q_values = remapped_vars[: len(q_values)]
-        q_rv_inputs = remapped_vars[len(q_values) :]
+        node_values = remapped_vars[: len(node_values)]
+        node_inputs = remapped_vars[len(node_values) :]
 
-        q_logprob_vars = _logprob(
+        node_logprobs = _logprob(
             node.op,
-            q_values,
-            *q_rv_inputs,
+            node_values,
+            *node_inputs,
             **kwargs,
         )
 
-        if not isinstance(q_logprob_vars, list | tuple):
-            q_logprob_vars = [q_logprob_vars]
+        if not isinstance(node_logprobs, list | tuple):
+            node_logprobs = [node_logprobs]
 
-        for q_value_var, q_logprob_var in zip(q_values, q_logprob_vars):
-            q_value_var = original_values[q_value_var]
+        for node_output_idx, node_value, node_logprob in zip(
+            node_output_idxs, node_values, node_logprobs
+        ):
+            original_value = original_values[node_output_idx]
 
-            if q_value_var.name:
-                q_logprob_var.name = f"{q_value_var.name}_logprob"
+            if original_value.name:
+                node_logprob.name = f"{original_value.name}_logprob"
 
-            if q_value_var in logprob_vars:
+            if original_value in values_to_logprobs:
                 raise ValueError(
-                    f"More than one logprob term was assigned to the value var {q_value_var}"
+                    f"More than one logprob term was assigned to the value var {original_value}"
                 )
 
-            logprob_vars[q_value_var] = q_logprob_var
-
-        # Recompute test values for the changes introduced by the replacements above.
-        if config.compute_test_value != "off":
-            for node in io_toposort(graph_inputs(q_logprob_vars), q_logprob_vars):
-                compute_test_value(node)
+            values_to_logprobs[original_value] = node_logprob
 
-    missing_value_terms = set(original_values.values()) - set(logprob_vars.keys())
+    missing_value_terms = set(original_values) - set(values_to_logprobs)
     if missing_value_terms:
         raise RuntimeError(
             f"The logprob terms of the following value variables could not be derived: {missing_value_terms}"
         )
 
-    logprob_expressions = list(logprob_vars.values())
-    cleanup_ir(logprob_expressions)
+    logprobs = list(values_to_logprobs.values())
+    cleanup_ir(logprobs)
 
     if warn_rvs:
-        rvs_in_logp_expressions = _find_unallowed_rvs_in_graph(logprob_expressions)
+        rvs_in_logp_expressions = _find_unallowed_rvs_in_graph(logprobs)
         if rvs_in_logp_expressions:
             warnings.warn(RVS_IN_JOINT_LOGP_GRAPH_MSG % rvs_in_logp_expressions, UserWarning)
 
-    return logprob_vars
+    return values_to_logprobs
 
 
 def transformed_conditional_logp(