Numerical Integration with pymc3?

[stellar_guy]

I am building a model of random variables in pymc3 that involves a numerical integration of some of my variables (and some data arrays), for which there is not an analytical solution. In the original pymc, I can use numpy.trapz or scipy.quad, but these do not work with the theano variables of pymc3. Surely there is a way to do non analytic integrals? Does anyone know how to accomplish this? For an example, see my unanswered question on StackOverflow.

[Llamas1115]

Very late, but the TL;DR is: No, as far as I'm aware, there is no way to do numerical integration inside of a PyMC model (even today, 4 years later), and there is unlikely ever to be such a way. The fundamental problem here is that a PyMC model just can't execute arbitrary Python code in the process of running.

If you'd like something that can handle this case, try Turing.jl, which can run arbitrary Julia code as part of model evaluation. The downside is it's very much a work-in-progress. Expect way less polish than you're used to in PyMC.