Custom distribution's random method fails if it depends on transformed RVs

[lucianopaz]

Description of your problem

When trying to define a custom Continuous distribution which depends on random variables that are automatically transformed to *_log__ or *_logodds__ inside a Model, pymc3.draw_values fails.

Please provide a minimal, self-contained, and reproducible example.

Provided in the following gist

The example that I show uses a custom normally distributed variable c that depends on the variables a and b, which are automatically transformed.

Please provide the full traceback.

bar.c.random() failed with the following traceback
Traceback (most recent call last):
  File "test_pymc3_custom_distribution.py", line 39, in <module>
    bar.c.random()
  File "/usr/local/lib/python2.7/dist-packages/pymc3/model.py", line 41, in __call__
    return getattr(self.obj, self.method_name)(*args, **kwargs)
  File "test_pymc3_custom_distribution.py", line 16, in random
    a, b = pm.distributions.draw_values([self.a, self.b], point=point)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 218, in draw_values
    givens[name] = (node, _draw_value(node, point=point))
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 285, in _draw_value
    func = _compile_theano_function(param, variables)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/memoize.py", line 20, in memoizer
    cache[key] = obj(*args, **kwargs)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 247, in _compile_theano_function
    allow_input_downcast=True)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function.py", line 317, in function
    output_keys=output_keys)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/pfunc.py", line 486, in pfunc
    output_keys=output_keys)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 1839, in orig_function
    name=name)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 1487, in __init__
    accept_inplace)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 181, in std_fgraph
    update_mapping=update_mapping)
  File "/usr/local/lib/python2.7/dist-packages/theano/gof/fg.py", line 175, in __init__
    self.__import_r__(output, reason="init")
  File "/usr/local/lib/python2.7/dist-packages/theano/gof/fg.py", line 356, in __import_r__
    raise MissingInputError("Undeclared input", variable=variable)
MissingInputError: Undeclared input

Testing pm.distributions.draw_values([c])
pm.distributions.draw_values([bar.c]) failed with the following traceback
Traceback (most recent call last):
  File "test_pymc3_custom_distribution.py", line 49, in <module>
    pm.distributions.draw_values([bar.c])
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 221, in draw_values
    values.append(_draw_value(param, point=point, givens=givens.values()))
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 279, in _draw_value
    return param.random(point=point, size=None)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/model.py", line 41, in __call__
    return getattr(self.obj, self.method_name)(*args, **kwargs)
  File "test_pymc3_custom_distribution.py", line 16, in random
    a, b = pm.distributions.draw_values([self.a, self.b], point=point)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 218, in draw_values
    givens[name] = (node, _draw_value(node, point=point))
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 285, in _draw_value
    func = _compile_theano_function(param, variables)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/memoize.py", line 20, in memoizer
    cache[key] = obj(*args, **kwargs)
  File "/usr/local/lib/python2.7/dist-packages/pymc3/distributions/distribution.py", line 247, in _compile_theano_function
    allow_input_downcast=True)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function.py", line 317, in function
    output_keys=output_keys)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/pfunc.py", line 486, in pfunc
    output_keys=output_keys)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 1839, in orig_function
    name=name)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 1487, in __init__
    accept_inplace)
  File "/usr/local/lib/python2.7/dist-packages/theano/compile/function_module.py", line 181, in std_fgraph
    update_mapping=update_mapping)
  File "/usr/local/lib/python2.7/dist-packages/theano/gof/fg.py", line 175, in __init__
    self.__import_r__(output, reason="init")
  File "/usr/local/lib/python2.7/dist-packages/theano/gof/fg.py", line 356, in __import_r__
    raise MissingInputError("Undeclared input", variable=variable)
MissingInputError: Undeclared input

Please provide any additional information below.

After taking a closer look at what happens when draw_values is called inside of Foo.random, it appears that in the call draw_values([self.a, self.b]), the random methods of both self.a and self.b never get called because the named nodes Bar_a_log__ and Bar_b_logodds__ are found first. This means that a drawn value of a will try to use a value drawn from Bar_a_log__ and Bar_b_logodds__ as a given. When the call, to _draw_value([Bar_a_log__]) happens, this variable has its random attribute set to None, and it is then interpreted as a theano function with no input given to it.

Versions and main components

• PyMC3 Version: 3.3
• Theano Version: 1.0.1
• Python Version: Both 2.7.12 and 3.5.2
• Operating system: Ubuntu 16.04
• How did you install PyMC3: pip