Port to PyMC5

[galenseilis]

Hi PyMC-Learn Devs,

It would be highly beneficial to my projects if pymc-learn was ported to PyMC5, which has some excellent features such as the recently-released do operator.

[twiecki]

What features of pymc-learn are you using?

[galenseilis]

@twiecki

Currently I am mostly using scikit-learn (and Keras/Tensorflow) for machine learning. With PyMC I am mostly building multi-level models currently, but I am hoping to move more towards using PyMC alongside ML to quantify the uncertainty in some of my predictions (e.g. resource demand forecasts).

So currently I am not using any of pymc-learn, but some of the things in it that I would like to use in a PyMC5 environment include

• multi-layer perceptron
• Dirichlet processes

I see for Gaussian processes that there is an example in the PyMC documentation, and there is also the package Gumbi that should be fine.