Return InferenceData by default

Also removes some unnecessary XFAIL marks.

Closes #4372, #4740

RELEASE-NOTES.md

@@ -6,6 +6,7 @@
 - ArviZ `plots` and `stats` *wrappers* were removed. The functions are now just available by their original names (see [#4549](https://github.com/pymc-devs/pymc3/pull/4471) and `3.11.2` release notes).
 - The GLM submodule has been removed, please use [Bambi](https://bambinos.github.io/bambi/) instead.
 - The `Distribution` keyword argument `testval` has been deprecated in favor of `initval`.
+- `pm.sample` now returns results as `InferenceData` instead of `MultiTrace` by default-
 - ...
 
 ### New Features

benchmarks/benchmarks/benchmarks.py

@@ -181,7 +181,7 @@ def track_glm_hierarchical_ess(self, init):
                 init=init, chains=self.chains, progressbar=False, random_seed=123
             )
             t0 = time.time()
-            trace = pm.sample(
+            idata = pm.sample(
                 draws=self.draws,
                 step=step,
                 cores=4,
@@ -192,7 +192,7 @@ def track_glm_hierarchical_ess(self, init):
                 compute_convergence_checks=False,
             )
             tot = time.time() - t0
-        ess = float(az.ess(trace, var_names=["mu_a"])["mu_a"].values)
+        ess = float(az.ess(idata, var_names=["mu_a"])["mu_a"].values)
         return ess / tot
 
     def track_marginal_mixture_model_ess(self, init):
@@ -203,7 +203,7 @@ def track_marginal_mixture_model_ess(self, init):
             )
             start = [{k: v for k, v in start.items()} for _ in range(self.chains)]
             t0 = time.time()
-            trace = pm.sample(
+            idata = pm.sample(
                 draws=self.draws,
                 step=step,
                 cores=4,
@@ -214,7 +214,7 @@ def track_marginal_mixture_model_ess(self, init):
                 compute_convergence_checks=False,
             )
             tot = time.time() - t0
-        ess = az.ess(trace, var_names=["mu"])["mu"].values.min()  # worst case
+        ess = az.ess(idata, var_names=["mu"])["mu"].values.min()  # worst case
         return ess / tot
 
 
@@ -235,7 +235,7 @@ def track_glm_hierarchical_ess(self, step):
             if step is not None:
                 step = step()
             t0 = time.time()
-            trace = pm.sample(
+            idata = pm.sample(
                 draws=self.draws,
                 step=step,
                 cores=4,
@@ -245,7 +245,7 @@ def track_glm_hierarchical_ess(self, step):
                 compute_convergence_checks=False,
             )
             tot = time.time() - t0
-        ess = float(az.ess(trace, var_names=["mu_a"])["mu_a"].values)
+        ess = float(az.ess(idata, var_names=["mu_a"])["mu_a"].values)
         return ess / tot
 
 
@@ -302,9 +302,9 @@ def freefall(y, t, p):
             Y = pm.Normal("Y", mu=ode_solution, sd=sigma, observed=y)
 
             t0 = time.time()
-            trace = pm.sample(500, tune=1000, chains=2, cores=2, random_seed=0)
+            idata = pm.sample(500, tune=1000, chains=2, cores=2, random_seed=0)
             tot = time.time() - t0
-        ess = az.ess(trace)
+        ess = az.ess(idata)
         return np.mean([ess.sigma, ess.gamma]) / tot
 
 

docs/source/Advanced_usage_of_Aesara_in_PyMC3.rst

@@ -40,12 +40,12 @@ be time consuming if the number of datasets is large)::
         pm.Normal('y', mu=mu, sigma=1, observed=data)
 
     # Generate one trace for each dataset
-    traces = []
+    idatas = []
     for data_vals in observed_data:
         # Switch out the observed dataset
         data.set_value(data_vals)
         with model:
-            traces.append(pm.sample())
+            idatas.append(pm.sample())
 
 We can also sometimes use shared variables to work around limitations
 in the current PyMC3 api. A common task in Machine Learning is to predict
@@ -63,7 +63,7 @@ variable for our observations::
       pm.Bernoulli('obs', p=logistic, observed=y)
 
       # fit the model
-      trace = pm.sample()
+      idata = pm.sample()
 
       # Switch out the observations and use `sample_posterior_predictive` to predict
       x_shared.set_value([-1, 0, 1.])
@@ -220,4 +220,4 @@ We can now define our model using this new `Op`::
         mu = pm.Deterministic('mu', at_mu_from_theta(theta))
         pm.Normal('y', mu=mu, sigma=0.1, observed=[0.2, 0.21, 0.3])
 
-        trace = pm.sample()
+        idata = pm.sample()

docs/source/Gaussian_Processes.rst

@@ -231,7 +231,7 @@ other implementations.  The first block fits the GP prior.  We denote
 
         f = gp.marginal_likelihood("f", X, y, noise)
 
-        trace = pm.sample(1000)
+        idata = pm.sample(1000)
 
 
 To construct the conditional distribution of :code:`gp1` or :code:`gp2`, we

docs/source/about.rst

@@ -237,9 +237,9 @@ Save this file, then from a python shell (or another file in the same directory)
     with bioassay_model:
 
         # Draw samples
-        trace = pm.sample(1000, tune=2000, cores=2)
+        idata = pm.sample(1000, tune=2000, cores=2)
         # Plot two parameters
-        az.plot_forest(trace, var_names=['alpha', 'beta'], r_hat=True)
+        az.plot_forest(idata, var_names=['alpha', 'beta'], r_hat=True)
 
 This example will generate 1000 posterior samples on each of two cores using the NUTS algorithm, preceded by 2000 tuning samples (these are good default numbers for most models).
 

pymc3/data.py

@@ -498,12 +498,12 @@ class Data:
     ...     pm.Normal('y', mu=mu, sigma=1, observed=data)
 
     >>> # Generate one trace for each dataset
-    >>> traces = []
+    >>> idatas = []
     >>> for data_vals in observed_data:
     ...     with model:
     ...         # Switch out the observed dataset
     ...         model.set_data('data', data_vals)
-    ...         traces.append(pm.sample())
+    ...         idatas.append(pm.sample())
 
     To set the value of the data container variable, check out
     :func:`pymc3.model.set_data()`.

pymc3/distributions/discrete.py

@@ -1691,14 +1691,15 @@ class OrderedLogistic(Categorical):
             cutpoints = pm.Normal("cutpoints", mu=[-1,1], sigma=10, shape=2,
                                   transform=pm.distributions.transforms.ordered)
             y_ = pm.OrderedLogistic("y", cutpoints=cutpoints, eta=x, observed=y)
-            tr = pm.sample(1000)
+            idata = pm.sample(1000)
 
         # Plot the results
         plt.hist(cluster1, 30, alpha=0.5);
         plt.hist(cluster2, 30, alpha=0.5);
         plt.hist(cluster3, 30, alpha=0.5);
-        plt.hist(tr["cutpoints"][:,0], 80, alpha=0.2, color='k');
-        plt.hist(tr["cutpoints"][:,1], 80, alpha=0.2, color='k');
+        posterior = idata.posterior.stack(sample=("chain", "draw"))
+        plt.hist(posterior["cutpoints"][:,0], 80, alpha=0.2, color='k');
+        plt.hist(posterior["cutpoints"][:,1], 80, alpha=0.2, color='k');
 
     """
 
@@ -1782,14 +1783,15 @@ class OrderedProbit(Categorical):
             cutpoints = pm.Normal("cutpoints", mu=[-1,1], sigma=10, shape=2,
                                   transform=pm.distributions.transforms.ordered)
             y_ = pm.OrderedProbit("y", cutpoints=cutpoints, eta=x, observed=y)
-            tr = pm.sample(1000)
+            idata = pm.sample(1000)
 
         # Plot the results
         plt.hist(cluster1, 30, alpha=0.5);
         plt.hist(cluster2, 30, alpha=0.5);
         plt.hist(cluster3, 30, alpha=0.5);
-        plt.hist(tr["cutpoints"][:,0], 80, alpha=0.2, color='k');
-        plt.hist(tr["cutpoints"][:,1], 80, alpha=0.2, color='k');
+        posterior = idata.posterior.stack(sample=("chain", "draw"))
+        plt.hist(posterior["cutpoints"][:,0], 80, alpha=0.2, color='k');
+        plt.hist(posterior["cutpoints"][:,1], 80, alpha=0.2, color='k');
 
     """
 

pymc3/distributions/distribution.py

@@ -495,7 +495,7 @@ def __init__(
                         normal_dist.logp,
                         observed=np.random.randn(100),
                     )
-                    trace = pm.sample(100)
+                    idata = pm.sample(100)
 
             .. code-block:: python
 

pymc3/model.py

@@ -1696,15 +1696,15 @@ def set_data(new_data, model=None):
         ...     y = pm.Data('y', [1., 2., 3.])
         ...     beta = pm.Normal('beta', 0, 1)
         ...     obs = pm.Normal('obs', x * beta, 1, observed=y)
-        ...     trace = pm.sample(1000, tune=1000)
+        ...     idata = pm.sample(1000, tune=1000)
 
     Set the value of `x` to predict on new data.
 
     .. code:: ipython
 
         >>> with model:
         ...     pm.set_data({'x': [5., 6., 9.]})
-        ...     y_test = pm.sample_posterior_predictive(trace)
+        ...     y_test = pm.sample_posterior_predictive(idata)
         >>> y_test['obs'].mean(axis=0)
         array([4.6088569 , 5.54128318, 8.32953844])
     """

pymc3/sampling.py

@@ -27,7 +27,6 @@
 
 import aesara.gradient as tg
 import numpy as np
-import packaging
 import xarray
 
 from aesara.compile.mode import Mode
@@ -355,7 +354,7 @@ def sample(
         Maximum number of repeated attempts (per chain) at creating an initial matrix with uniform jitter
         that yields a finite probability. This applies to ``jitter+adapt_diag`` and ``jitter+adapt_full``
         init methods.
-    return_inferencedata : bool, default=False
+    return_inferencedata : bool, default=True
         Whether to return the trace as an :class:`arviz:arviz.InferenceData` (True) object or a `MultiTrace` (False)
         Defaults to `False`, but we'll switch to `True` in an upcoming release.
     idata_kwargs : dict, optional
@@ -430,9 +429,9 @@ def sample(
         In [2]: with pm.Model() as model: # context management
            ...:     p = pm.Beta("p", alpha=alpha, beta=beta)
            ...:     y = pm.Binomial("y", n=n, p=p, observed=h)
-           ...:     trace = pm.sample()
+           ...:     idata = pm.sample()
 
-        In [3]: az.summary(trace, kind="stats")
+        In [3]: az.summary(idata, kind="stats")
 
         Out[3]:
             mean     sd  hdi_3%  hdi_97%
@@ -471,6 +470,9 @@ def sample(
     if not isinstance(random_seed, abc.Iterable):
         raise TypeError("Invalid value for `random_seed`. Must be tuple, list or int")
 
+    if return_inferencedata is None:
+        return_inferencedata = True
+
     if not discard_tuned_samples and not return_inferencedata:
         warnings.warn(
             "Tuning samples will be included in the returned `MultiTrace` object, which can lead to"
@@ -480,18 +482,6 @@ def sample(
             stacklevel=2,
         )
 
-    if return_inferencedata is None:
-        v = packaging.version.parse(pm.__version__)
-        if v.release[0] > 3 or v.release[1] >= 10:  # type: ignore
-            warnings.warn(
-                "In v4.0, pm.sample will return an `arviz.InferenceData` object instead of a `MultiTrace` by default. "
-                "You can pass return_inferencedata=True or return_inferencedata=False to be safe and silence this warning.",
-                FutureWarning,
-                stacklevel=2,
-            )
-        # set the default
-        return_inferencedata = False
-
     if start is not None:
         for start_vals in start:
             _check_start_shape(model, start_vals)

pymc3/step_methods/mlda.py

@@ -334,11 +334,11 @@ class MLDA(ArrayStepShared):
         ...     y = pm.Normal("y", mu=x, sigma=1, observed=datum)
         ...     step_method = pm.MLDA(coarse_models=[coarse_model],
         ...                           subsampling_rates=5)
-        ...     trace = pm.sample(500, chains=2,
+        ...     idata = pm.sample(500, chains=2,
         ...                       tune=100, step=step_method,
         ...                       random_seed=123)
         ...
-        ... az.summary(trace, kind="stats")
+        ... az.summary(idata, kind="stats")
            mean     sd  hdi_3%  hdi_97%
         x  0.99  0.987  -0.734    2.992
 

pymc3/tests/test_data_container.py

@@ -49,12 +49,12 @@ def test_sample(self):
             pm.Normal("obs", b * x_shared, np.sqrt(1e-2), observed=y)
 
             prior_trace0 = pm.sample_prior_predictive(1000)
-            trace = pm.sample(1000, init=None, tune=1000, chains=1)
-            pp_trace0 = pm.sample_posterior_predictive(trace, 1000)
+            idata = pm.sample(1000, init=None, tune=1000, chains=1)
+            pp_trace0 = pm.sample_posterior_predictive(idata, 1000)
 
             x_shared.set_value(x_pred)
             prior_trace1 = pm.sample_prior_predictive(1000)
-            pp_trace1 = pm.sample_posterior_predictive(trace, samples=1000)
+            pp_trace1 = pm.sample_posterior_predictive(idata, samples=1000)
 
         assert prior_trace0["b"].shape == (1000,)
         assert prior_trace0["obs"].shape == (1000, 100)
@@ -101,23 +101,21 @@ def test_sample_after_set_data(self):
                 init=None,
                 tune=1000,
                 chains=1,
-                return_inferencedata=False,
                 compute_convergence_checks=False,
             )
         # Predict on new data.
         new_x = [5.0, 6.0, 9.0]
         new_y = [5.0, 6.0, 9.0]
         with model:
             pm.set_data(new_data={"x": new_x, "y": new_y})
-            new_trace = pm.sample(
+            new_idata = pm.sample(
                 1000,
                 init=None,
                 tune=1000,
                 chains=1,
-                return_inferencedata=False,
                 compute_convergence_checks=False,
             )
-            pp_trace = pm.sample_posterior_predictive(new_trace, 1000)
+            pp_trace = pm.sample_posterior_predictive(new_idata, 1000)
 
         assert pp_trace["obs"].shape == (1000, 3)
         np.testing.assert_allclose(new_y, pp_trace["obs"].mean(axis=0), atol=1e-1)
@@ -134,12 +132,11 @@ def test_shared_data_as_index(self):
             pm.Normal("obs", alpha[index], np.sqrt(1e-2), observed=y)
 
             prior_trace = pm.sample_prior_predictive(1000, var_names=["alpha"])
-            trace = pm.sample(
+            idata = pm.sample(
                 1000,
                 init=None,
                 tune=1000,
                 chains=1,
-                return_inferencedata=False,
                 compute_convergence_checks=False,
             )
 
@@ -148,10 +145,10 @@ def test_shared_data_as_index(self):
         new_y = [5.0, 6.0, 9.0]
         with model:
             pm.set_data(new_data={"index": new_index, "y": new_y})
-            pp_trace = pm.sample_posterior_predictive(trace, 1000, var_names=["alpha", "obs"])
+            pp_trace = pm.sample_posterior_predictive(idata, 1000, var_names=["alpha", "obs"])
 
         assert prior_trace["alpha"].shape == (1000, 3)
-        assert trace["alpha"].shape == (1000, 3)
+        assert idata.posterior["alpha"].shape == (1, 1000, 3)
         assert pp_trace["alpha"].shape == (1000, 3)
         assert pp_trace["obs"].shape == (1000, 3)
 
@@ -233,7 +230,6 @@ def test_set_data_to_non_data_container_variables(self):
                 init=None,
                 tune=1000,
                 chains=1,
-                return_inferencedata=False,
                 compute_convergence_checks=False,
             )
         with pytest.raises(TypeError) as error:
@@ -253,7 +249,6 @@ def test_model_to_graphviz_for_model_with_data_container(self):
                 init=None,
                 tune=1000,
                 chains=1,
-                return_inferencedata=False,
                 compute_convergence_checks=False,
             )