Sampling from user provided target densities in PyMC3

Question

Is it possible to sample from a user provided target measure in PyMC3 in an easy way? I.e. I want to be able to provide black box functions logposterior(theta) and grad_logposterior(theta) that and sample from those instead of specifying a model in PyMC3s modeling language.

Answer 1

This is a bit clunky. You'd need to create a new Theano Op. Here are a few examples: https://github.com/Theano/Theano/blob/master/theano/tensor/slinalg.py#L32

You then need to create a distribution class that evaluates the logp via your new Op, for example: https://github.com/pymc-devs/pymc3/blob/master/pymc3/distributions/continuous.py#L70