Add check for variables in step samplers

pymc/sampling/mcmc.py

@@ -168,6 +168,11 @@ def assign_step_methods(model, step=None, methods=None, step_kwargs=None):
         except TypeError:
             steps.append(step)
         for step in steps:
+            for var in step.vars:
+                if var not in model.value_vars:
+                    raise ValueError(
+                        f"{var} assigned to {step} sampler is not a value variable in the model. You can use `util.get_value_vars_from_user_vars` to parse user provided variables."
+                    )
             assigned_vars = assigned_vars.union(set(step.vars))
 
     # Use competence classmethods to select step methods for remaining

tests/sampling/test_mcmc.py

@@ -40,6 +40,7 @@
     NUTS,
     BinaryGibbsMetropolis,
     CategoricalGibbsMetropolis,
+    CompoundStep,
     HamiltonianMC,
     Metropolis,
     Slice,
@@ -817,6 +818,23 @@ def test_modify_step_methods(self):
                 steps = assign_step_methods(model, [])
         assert isinstance(steps, NUTS)
 
+    def test_step_vars_in_model(self):
+        """Test if error is raised if step variable is not found in model.value_vars"""
+        with pm.Model() as model:
+            c1 = pm.HalfNormal("c1")
+            c2 = pm.HalfNormal("c2")
+
+            with pytensor.config.change_flags(mode=fast_unstable_sampling_mode):
+                step1 = NUTS([c1])
+                step2 = NUTS([c2])
+                step2.vars = [c2]
+                step = CompoundStep([step1, step2])
+                with pytest.raises(
+                    ValueError,
+                    match=r".* assigned to .* sampler is not a value variable in the model. You can use `util.get_value_vars_from_user_vars` to parse user provided variables.",
+                ):
+                    assign_step_methods(model, step)
+
 
 class TestType:
     samplers = (Metropolis, Slice, HamiltonianMC, NUTS)