Add a test for sampling from CustomDist in multiple processes

tests/smc/test_smc.py

@@ -133,6 +133,21 @@ def test_unobserved_categorical(self):
 
         assert np.all(np.median(trace["mu"], axis=0) == [1, 2])
 
+    def test_parallel_custom(self):
+        def _logp(value, mu):
+            return -((value - mu) ** 2)
+
+        def _random(mu, rng=None, size=None):
+            return rng.normal(loc=mu, scale=1, size=size)
+
+        def _dist(mu, size=None):
+            return pm.Normal.dist(mu, 1, size=size)
+
+        with pm.Model():
+            mu = pm.CustomDist("mu", 0, logp=_logp, dist=_dist)
+            pm.CustomDist("y", mu, logp=_logp, class_name="", random=_random, observed=[1, 2])
+            pm.sample_smc(draws=6, cores=2)
+
     def test_marginal_likelihood(self):
         """
         Verifies that the log marginal likelihood function