jan-matthis / pymc3

Probabilistic Programming in Python. Uses Theano as a backend, supports NUTS and ADVI.

PyMC3


PyMC3 is a python module for Bayesian statistical modeling and model fitting which focuses on advanced Markov chain Monte Carlo fitting algorithms. Its flexibility and extensibility make it applicable to a large suite of problems.

Check out the getting started guide!

PyMC3 is beta software. Users should consider using PyMC 2 repository.

Features

• Intuitive model specification syntax, for example, x ~ N(0,1) translates to x = Normal(0,1)
• Powerful sampling algorithms, such as the No U-Turn Sampler, allow complex models with thousands of parameters with little specialized knowledge of fitting algorithms.
• Variational inference: ADVI for fast approximate posterior estimation as well as mini-batch ADVI for large data sets.
• Easy optimization for finding the maximum a posteriori (MAP) point
• Theano features
• Numpy broadcasting and advanced indexing
• Linear algebra operators
• Computation optimization and dynamic C compilation
• Simple extensibility
• Transparent support for missing value imputation

Getting started

• The PyMC3 tutorial or journal publication
• PyMC3 examples and the API reference
• Bayesian Modelling in Python -- tutorials on Bayesian statistics and PyMC3 as Jupyter Notebooks by Mark Dregan
• Talk at PyData London 2016 on PyMC3
• PyMC3 port of the models presented in the book "Doing Bayesian Data Analysis" by John Kruschke
• Coal Mining Disasters model in PyMC 2 and PyMC 3

Installation

The latest version of PyMC3 can be installed from the master branch using pip:

pip install git+https://github.com/pymc-devs/pymc3

To ensure the development branch of Theano is installed alongside PyMC3 (recommended), you can install PyMC3 using the requirements.txt file. This requires cloning the repository to your computer:

git clone https://github.com/pymc-devs/pymc3
cd pymc3
pip install -r requirements.txt

However, if a recent version of Theano has already been installed on your system, you can install PyMC3 directly from GitHub.

Another option is to clone the repository and install PyMC3 using python setup.py install or python setup.py develop.

Note: Running pip install pymc will install PyMC 2.3, not PyMC3, from PyPI.

Dependencies

PyMC3 is tested on Python 2.7 and 3.3 and depends on Theano, NumPy, SciPy, Pandas, and Matplotlib (see requirements.txt for version information).

Optional

In addtion to the above dependencies, the GLM submodule relies on Patsy[http://patsy.readthedocs.io/en/latest/].

scikits.sparse enables sparse scaling matrices which are useful for large problems. Installation on Ubuntu is easy:

sudo apt-get install libsuitesparse-dev
pip install git+https://github.com/njsmith/scikits-sparse.git

On Mac OS X you can install libsuitesparse 4.2.1 via homebrew (see http://brew.sh/ to install homebrew), manually add a link so the include files are where scikits-sparse expects them, and then install scikits-sparse:

brew install suite-sparse
ln -s /usr/local/Cellar/suite-sparse/4.2.1/include/ /usr/local/include/suitesparse
pip install git+https://github.com/njsmith/scikits-sparse.git

Support

The best places to ask general questions about PyMC3 is on StackOverflow with the pymc tag, or on our Gitter channel. If you have discovered a bug in PyMC3, please use our issue tracker.

Citing PyMC3

Salvatier J, Wiecki TV, Fonnesbeck C. (2016) Probabilistic programming in Python using PyMC3. PeerJ Computer Science 2:e55 https://doi.org/10.7717/peerj-cs.55

License

Apache License, Version 2.0

Contributors

See the GitHub contributor page