66% speed-up by removing bound checks

[twiecki]

I added a single line of code and got a 66% speed-up. Most of our distributions have various bound checks. pm.Normal.logp for example checks that sigma > 0 for every logp eval.

These checks are useful when building a new model, for example, if I put a pm.Normal on my sigma and it proposes negative values I want the logp to become -inf.

However, once I have built the model and know that all my parameters can only take on valid ranges I don't need these checks anymore.

So just by making bound() return logp directly (i.e turning it into a noop) I got a nice 66% speed-up on the stochastic vol model.

My question is how do we best allow the user to configure this.

One idea is with pm.Model(disable_bounds_check=True).