Add support for multiple BART random variables per model. (#231)

* Add support for multiple BART random variables per model.

* add potential fix (conditional of upstream change)

* remove int

* update pymc version

---------

Co-authored-by: aloctavodia <[email protected]>

Author: derekpowell

env-dev.yml

@@ -3,7 +3,7 @@ channels:
   - conda-forge
   - defaults
 dependencies:
-  - pymc>=5.16.2,<=5.23.0
+  - pymc==5.24.0
   - numba
   - matplotlib
   - numpy

env.yml

@@ -3,7 +3,7 @@ channels:
   - conda-forge
   - defaults
 dependencies:
-  - pymc>=5.16.2,<=5.23.0
+  - pymc==5.24.0
   - numba
   - matplotlib
   - numpy

pymc_bart/bart.py

@@ -29,7 +29,6 @@
 from pytensor.tensor.variable import TensorVariable
 
 from .split_rules import SplitRule
-from .tree import Tree
 from .utils import TensorLike, _sample_posterior
 
 __all__ = ["BART"]
@@ -42,7 +41,6 @@ class BARTRV(RandomVariable):
     signature = "(m,n),(m),(),(),() -> (m)"
     dtype: str = "floatX"
     _print_name: tuple[str, str] = ("BART", "\\operatorname{BART}")
-    all_trees = list[list[list[Tree]]]
 
     def _supp_shape_from_params(self, dist_params, rep_param_idx=1, param_shapes=None):  # pylint: disable=arguments-renamed
         idx = dist_params[0].ndim - 2
@@ -55,7 +53,7 @@ def rng_fn(  # pylint: disable=W0237
         if not size:
             size = None
 
-        if not cls.all_trees:
+        if not hasattr(cls, "all_trees") or not cls.all_trees:
             if isinstance(cls.Y, (TensorSharedVariable, TensorVariable)):
                 Y = cls.Y.eval()
             else:
@@ -142,8 +140,9 @@ def __new__(
                 "Options linear and mix are experimental and still not well tested\n"
                 + "Use with caution."
             )
+        # Create a unique manager list for each BART instance
         manager = Manager()
-        cls.all_trees = manager.list()
+        instance_all_trees = manager.list()
 
         X, Y = preprocess_xy(X, Y)
 
@@ -154,7 +153,7 @@ def __new__(
             (BARTRV,),
             {
                 "name": "BART",
-                "all_trees": cls.all_trees,
+                "all_trees": instance_all_trees,  # Instance-specific tree storage
                 "inplace": False,
                 "initval": Y.mean(),
                 "X": X,

pymc_bart/pgbart.py

@@ -130,6 +130,7 @@ def __init__(  # noqa: PLR0912, PLR0915
         model: Optional[Model] = None,
         initial_point: PointType | None = None,
         compile_kwargs: dict | None = None,
+        **kwargs,  # Accept additional kwargs for compound sampling
     ) -> None:
         model = modelcontext(model)
         if initial_point is None:
@@ -143,7 +144,24 @@ def __init__(  # noqa: PLR0912, PLR0915
         if vars is None:
             raise ValueError("Unable to find variables to sample")
 
-        value_bart = vars[0]
+        # Filter to only BART variables
+        bart_vars = []
+        for var in vars:
+            rv = model.values_to_rvs.get(var)
+            if rv is not None and isinstance(rv.owner.op, BARTRV):
+                bart_vars.append(var)
+
+        if not bart_vars:
+            raise ValueError("No BART variables found in the provided variables")
+
+        if len(bart_vars) > 1:
+            raise ValueError(
+                "PGBART can only handle one BART variable at a time. "
+                "For multiple BART variables, PyMC will automatically create "
+                "separate PGBART samplers for each variable."
+            )
+
+        value_bart = bart_vars[0]
         self.bart = model.values_to_rvs[value_bart].owner.op
 
         if isinstance(self.bart.X, Variable):
@@ -227,15 +245,15 @@ def __init__(  # noqa: PLR0912, PLR0915
 
         self.num_particles = num_particles
         self.indices = list(range(1, num_particles))
-        shared = make_shared_replacements(initial_point, vars, model)
-        self.likelihood_logp = logp(initial_point, [model.datalogp], vars, shared)
+        shared = make_shared_replacements(initial_point, [value_bart], model)
+        self.likelihood_logp = logp(initial_point, [model.datalogp], [value_bart], shared)
         self.all_particles = [
             [ParticleTree(self.a_tree) for _ in range(self.m)] for _ in range(self.trees_shape)
         ]
         self.all_trees = np.array([[p.tree for p in pl] for pl in self.all_particles])
         self.lower = 0
         self.iter = 0
-        super().__init__(vars, shared)
+        super().__init__([value_bart], shared)
 
     def astep(self, _):
         variable_inclusion = np.zeros(self.num_variates, dtype="int")
@@ -408,6 +426,13 @@ def competence(var: pm.Distribution, has_grad: bool) -> Competence:
             return Competence.IDEAL
         return Competence.INCOMPATIBLE
 
+    @staticmethod
+    def _make_update_stats_functions():
+        def update_stats(step_stats):
+            return {key: step_stats[key] for key in ("variable_inclusion", "tune")}
+
+        return (update_stats,)
+
 
 class RunningSd:
     """Welford's online algorithm for computing the variance/standard deviation"""

requirements.txt

@@ -1,4 +1,4 @@
-pymc>=5.16.2,<=5.23.0
+pymc==5.24.0
 arviz-stats[xarray]>=0.6.0
 numba
 matplotlib

tests/test_bart.py

@@ -256,3 +256,70 @@ def test_categorical_model(separate_trees, split_rule):
     # Fit should be good enough so right category is selected over 50% of time
     assert (idata.predictions.y.median(["chain", "draw"]) == Y).all()
     assert pmb.compute_variable_importance(idata, bartrv=lo, X=X)["preds"].shape == (5, 50, 9, 3)
+
+
+def test_multiple_bart_variables():
+    """Test that multiple BART variables can coexist in a single model."""
+    X1 = np.random.normal(0, 1, size=(50, 2))
+    X2 = np.random.normal(0, 1, size=(50, 3))
+    Y = np.random.normal(0, 1, size=50)
+
+    # Create correlated responses
+    Y1 = X1[:, 0] + np.random.normal(0, 0.1, size=50)
+    Y2 = X2[:, 0] + X2[:, 1] + np.random.normal(0, 0.1, size=50)
+
+    with pm.Model() as model:
+        # Two separate BART variables with different covariates
+        mu1 = pmb.BART("mu1", X1, Y1, m=5)
+        mu2 = pmb.BART("mu2", X2, Y2, m=5)
+
+        # Combined model
+        sigma = pm.HalfNormal("sigma", 1)
+        y = pm.Normal("y", mu1 + mu2, sigma, observed=Y)
+
+        # Sample with automatic assignment of BART samplers
+        idata = pm.sample(tune=50, draws=50, chains=1, random_seed=3415)
+
+        # Verify both BART variables have their own tree collections
+        assert hasattr(mu1.owner.op, "all_trees")
+        assert hasattr(mu2.owner.op, "all_trees")
+
+        # Verify trees are stored separately (different object references)
+        assert mu1.owner.op.all_trees is not mu2.owner.op.all_trees
+
+        # Verify sampling worked
+        assert idata.posterior["mu1"].shape == (1, 50, 50)
+        assert idata.posterior["mu2"].shape == (1, 50, 50)
+
+
+def test_multiple_bart_variables_manual_step():
+    """Test that multiple BART variables work with manually assigned PGBART samplers."""
+    X1 = np.random.normal(0, 1, size=(30, 2))
+    X2 = np.random.normal(0, 1, size=(30, 2))
+    Y = np.random.normal(0, 1, size=30)
+
+    # Create simple responses
+    Y1 = X1[:, 0] + np.random.normal(0, 0.1, size=30)
+    Y2 = X2[:, 1] + np.random.normal(0, 0.1, size=30)
+
+    with pm.Model() as model:
+        # Two separate BART variables
+        mu1 = pmb.BART("mu1", X1, Y1, m=3)
+        mu2 = pmb.BART("mu2", X2, Y2, m=3)
+
+        # Non-BART variable
+        sigma = pm.HalfNormal("sigma", 1)
+        y = pm.Normal("y", mu1 + mu2, sigma, observed=Y)
+
+        # Manually create PGBART samplers for each BART variable
+        step1 = pmb.PGBART([mu1], num_particles=5)
+        step2 = pmb.PGBART([mu2], num_particles=5)
+
+        # Sample with manual step assignment
+        idata = pm.sample(tune=20, draws=20, chains=1, step=[step1, step2], random_seed=3415)
+
+        # Verify both variables were sampled
+        assert "mu1" in idata.posterior
+        assert "mu2" in idata.posterior
+        assert idata.posterior["mu1"].shape == (1, 20, 30)
+        assert idata.posterior["mu2"].shape == (1, 20, 30)