pymc3: A Python repository from JWarmenhoven

PyMC3 is a Python package for Bayesian statistical modeling and Probabilistic Machine Learning which focuses on advanced Markov chain Monte Carlo and variational fitting algorithms. Its flexibility and extensibility make it applicable to a large suite of problems.

Check out the getting started guide!

Features

Intuitive model specification syntax, for example, x ~ N(0,1) translates to x = Normal('x',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.
Relies on Theano which provides:
- Computation optimization and dynamic C compilation
- Numpy broadcasting and advanced indexing
- Linear algebra operators
- Simple extensibility
Transparent support for missing value imputation

Getting started

If you already know about Bayesian statistics:

If you want to learn Bayesian statistics together with PyMC3:

Probabilistic Programming and Bayesian Methods for Hackers: Fantastic book with many applied code examples.
PyMC3 port of the models presented in the book "Doing Bayesian Data Analysis" by John Kruschke: Principled introduction to Bayesian data analysis.
PyMC3 port of the examples in "Statistical Rethinking A Bayesian Course with Examples in R and Stan" by Richard McElreath
PyMC3 port of the models presented in the book "Bayesian Cognitive Modeling" by Michael Lee and EJ Wagenmakers: Focused on using Bayesian statistics in cognitive modeling.
Bayesian Analysis with Python by Osvaldo Martin (and errata): Great introduction.

There are also several talks on PyMC3 which are gathered in this YouTube playlist

Installation

The latest release of PyMC3 can be installed from PyPI using pip:

pip install pymc3

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

Or via conda-forge:

conda install -c conda-forge pymc3

The current development branch of PyMC3 can be installed from GitHub, also 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.

Dependencies

PyMC3 is tested on Python 2.7 and 3.6 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.

scikits.sparse enables sparse scaling matrices which are useful for large problems.

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

Contact

To report an issue with PyMC3 or to suggest a feature please use the issue tracker.

To ask a question regarding modeling or usage of PyMC3 we encourage posting to StackOverflow using the "pymc" tag.

To interact with PyMC3 developers, visit the pymc Gitter channel.

Finally, if you need to get in touch for non-technical information about the project, send us an e-mail.

License

Apache License, Version 2.0

Software using PyMC3

Bambi: BAyesian Model-Building Interface (BAMBI) in Python.

NiPyMC: Bayesian mixed-effects modeling of fMRI data in Python.

gelato: Bayesian Neural Networks with PyMC3 and Lasagne.

beat: Bayesian Earthquake Analysis Tool.

Edward: A library for probabilistic modeling, inference, and criticism.

Please contact us if your software is not listed here.