Parallelization of DEMetropolis sampling fails due to a kwarg assert

[michaelosthege]

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DEMetropolis sampling can't be parallelized due to kwarg checking in the sampling method

Additional kwargs are assumed to be used by the steppers. The parallelize kwargs however is not. It is used by the functions that initiate sampling.

import pymc3
with pymc3.Model() as pmodel:
    n = pymc3.Normal('n', 0, 1)
    trace = pymc3.sample(step=pymc3.DEMetropolis(), chains=6, parallelize=True)

Traceback (most recent call last):
  File "...\site-packages\pymc3\sampling.py", line 406, in sample
    step = assign_step_methods(model, step, step_kwargs=kwargs)
  File "...\site-packages\pymc3\sampling.py", line 155, in assign_step_methods
    return instantiate_steppers(model, steps, selected_steps, step_kwargs)
  File "...\site-packages\pymc3\sampling.py", line 81, in instantiate_steppers
    raise ValueError('Unused step method arguments: %s' % unused_args)
ValueError: Unused step method arguments: {'parallelize'}

Versions

Done with recent pip install, but the code on master still has the bug.

Solution

Add the parallelize kwarg explicitly to the signature of the sample method. But also discuss how it should be called to avoid confusion. (It only applies to the parallelization of population samplers.)

Also, the test in https://github.com/pymc-devs/pymc3/blob/90093d9d2b6aa5c38424abd6097bd5bb0191d904/pymc3/tests/test_step.py#L918 should be duplicated to also test with parallelization enabled.