Allow creating CustomDist inside another CustomDist

pymc/distributions/distribution.py

@@ -52,7 +52,7 @@
 from pymc.logprob.abstract import MeasurableVariable, _icdf, _logcdf, _logprob
 from pymc.logprob.basic import logp
 from pymc.logprob.rewriting import logprob_rewrites_db
-from pymc.model import BlockModelAccess
+from pymc.model import new_or_existing_block_model_access
 from pymc.printing import str_for_dist
 from pymc.pytensorf import collect_default_updates, convert_observed_data, floatX
 from pymc.util import UNSET, _add_future_warning_tag
@@ -645,7 +645,7 @@ def rv_op(
         size = normalize_size_param(size)
         dummy_size_param = size.type()
         dummy_dist_params = [dist_param.type() for dist_param in dist_params]
-        with BlockModelAccess(
+        with new_or_existing_block_model_access(
             error_msg_on_access="Model variables cannot be created in the dist function. Use the `.dist` API"
         ):
             dummy_rv = dist(*dummy_dist_params, dummy_size_param)
@@ -1048,7 +1048,7 @@ def is_symbolic_random(self, random, dist_params):
         # Try calling random with symbolic inputs
         try:
             size = normalize_size_param(None)
-            with BlockModelAccess(
+            with new_or_existing_block_model_access(
                 error_msg_on_access="Model variables cannot be created in the random function. Use the `.dist` API to create such variables."
             ):
                 out = random(*dist_params, size)

pymc/model.py

@@ -143,7 +143,7 @@ def __init__(
             cls._context_class = context_class
         super().__init__(name, bases, nmspc)
 
-    def get_context(cls, error_if_none=True) -> Optional[T]:
+    def get_context(cls, error_if_none=True, allow_block_model_access=False) -> Optional[T]:
         """Return the most recently pushed context object of type ``cls``
         on the stack, or ``None``. If ``error_if_none`` is True (default),
         raise a ``TypeError`` instead of returning ``None``."""
@@ -155,7 +155,7 @@ def get_context(cls, error_if_none=True) -> Optional[T]:
             if error_if_none:
                 raise TypeError(f"No {cls} on context stack")
             return None
-        if isinstance(candidate, BlockModelAccess):
+        if isinstance(candidate, BlockModelAccess) and not allow_block_model_access:
             raise BlockModelAccessError(candidate.error_msg_on_access)
         return candidate
 
@@ -1889,6 +1889,14 @@ def __init__(self, *args, error_msg_on_access="Model access is blocked", **kwarg
         self.error_msg_on_access = error_msg_on_access
 
 
+def new_or_existing_block_model_access(*args, **kwargs):
+    """Return a BlockModelAccess in the stack or create a new one if none is found."""
+    model = Model.get_context(error_if_none=False, allow_block_model_access=True)
+    if isinstance(model, BlockModelAccess):
+        return model
+    return BlockModelAccess(*args, **kwargs)
+
+
 def set_data(new_data, model=None, *, coords=None):
     """Sets the value of one or more data container variables.  Note that the shape is also
     dynamic, it is updated when the value is changed.  See the examples below for two common

tests/distributions/test_distribution.py

@@ -599,6 +599,22 @@ def dist(size):
 
         assert pm.CustomDist.dist(dist=dist)
 
+    def test_nested_custom_dist(self):
+        """Test we can create CustomDist that creates another CustomDist"""
+
+        def dist(size=None):
+            def inner_dist(size=None):
+                return pm.Normal.dist(size=size)
+
+            inner_dist = pm.CustomDist.dist(dist=inner_dist, size=size)
+            return pt.exp(inner_dist)
+
+        rv = pm.CustomDist.dist(dist=dist)
+        np.testing.assert_allclose(
+            pm.logp(rv, 1.0).eval(),
+            pm.logp(pm.LogNormal.dist(), 1.0).eval(),
+        )
+
 
 class TestSymbolicRandomVariable:
     def test_inline(self):