Sublinear-Time Approximate MCMC Transitions for Probabilistic Programs

Probabilistic programming languages can simplify the development of machine learning techniques, but only if inference is sufficiently scalable. Unfortunately, Bayesian parameter estimation for highly coupled models such as regressions and state-space models still scales poorly; each MCMC transition takes linear time in the number of observations. This paper describes a sublinear-time algorithm for making Metropolis-Hastings (MH) updates to latent variables in probabilistic programs. The approach generalizes recently introduced approximate MH techniques: instead of subsampling data items assumed to be independent, it subsamples edges in a dynamically constructed graphical model. It thus applies to a broader class of problems and interoperates with other general-purpose inference techniques. Empirical results, including confirmation of sublinear per-transition scaling, are presented for Bayesian logistic regression, nonlinear classification via joint Dirichlet process mixtures, and parameter estimation for stochastic volatility models (with state estimation via particle MCMC). All three applications use the same implementation, and each requires under 20 lines of probabilistic code.

Particle Gibbs with Ancestor Sampling for Probabilistic Programs

Particle Markov chain Monte Carlo techniques rank among current state-of-the-art methods for probabilistic program inference. A drawback of these techniques is that they rely on importance resampling, which results in degenerate particle trajectories and a low effective sample size for variables sampled early in a program. We here develop a formalism to adapt ancestor resampling, a technique that mitigates particle degeneracy, to the probabilistic programming setting. We present empirical results that demonstrate nontrivial performance gains.

Church: a language for generative models

We introduce Church, a universal language for describing stochastic generative processes. Church is based on the Lisp model of lambda calculus, containing a pure Lisp as its deterministic subset. The semantics of Church is defined in terms of evaluation histories and conditional distributions on such histories. Church also includes a novel language construct, the stochastic memoizer, which enables simple description of many complex non-parametric models. We illustrate language features through several examples, including: a generalized Bayes net in which parameters cluster over trials, infinite PCFGs, planning by inference, and various non-parametric clustering models. Finally, we show how to implement query on any Church program, exactly and approximately, using Monte Carlo techniques.

Venture: a higher-order probabilistic programming platform with programmable inference

We describe Venture, an interactive virtual machine for probabilistic programming that aims to be sufficiently expressive, extensible, and efficient for general-purpose use. Like Church, probabilistic models and inference problems in Venture are specified via a Turing-complete, higher-order probabilistic language descended from Lisp. Unlike Church, Venture also provides a compositional language for custom inference strategies built out of scalable exact and approximate techniques. We also describe four key aspects of Venture's implementation that build on ideas from probabilistic graphical models. First, we describe the stochastic procedure interface (SPI) that specifies and encapsulates primitive random variables. The SPI supports custom control flow, higher-order probabilistic procedures, partially exchangeable sequences and ``likelihood-free'' stochastic simulators. It also supports external models that do inference over latent variables hidden from Venture. Second, we describe probabilistic execution traces (PETs), which represent execution histories of Venture programs. PETs capture conditional dependencies, existential dependencies and exchangeable coupling. Third, we describe partitions of execution histories called scaffolds that factor global inference problems into coherent sub-problems. Finally, we describe a family of stochastic regeneration algorithms for efficiently modifying PET fragments contained within scaffolds. Stochastic regeneration linear runtime scaling in cases where many previous approaches scaled quadratically. We show how to use stochastic regeneration and the SPI to implement general-purpose inference strategies such as Metropolis-Hastings, Gibbs sampling, and blocked proposals based on particle Markov chain Monte Carlo and mean-field variational inference techniques.

Building fast Bayesian computing machines out of intentionally stochastic, digital parts

The brain interprets ambiguous sensory information faster and more reliably than modern computers, using neurons that are slower and less reliable than logic gates. But Bayesian inference, which underpins many computational models of perception and cognition, appears computationally challenging even given modern transistor speeds and energy budgets. The computational principles and structures needed to narrow this gap are unknown. Here we show how to build fast Bayesian computing machines using intentionally stochastic, digital parts, narrowing this efficiency gap by multiple orders of magnitude. We find that by connecting stochastic digital components according to simple mathematical rules, one can build massively parallel, low precision circuits that solve Bayesian inference problems and are compatible with the Poisson firing statistics of cortical neurons. We evaluate circuits for depth and motion perception, perceptual learning and causal reasoning, each performing inference over 10,000+ latent variables in real time - a 1,000x speed advantage over commodity microprocessors. These results suggest a new role for randomness in the engineering and reverse-engineering of intelligent computation.

Structured Priors for Structure Learning

Traditional approaches to Bayes net structure learning typically assume little regularity in graph structure other than sparseness. However, in many cases, we expect more systematicity: variables in real-world systems often group into classes that predict the kinds of probabilistic dependencies they participate in. Here we capture this form of prior knowledge in a hierarchical Bayesian framework, and exploit it to enable structure learning and type discovery from small datasets. Specifically, we present a nonparametric generative model for directed acyclic graphs as a prior for Bayes net structure learning. Our model assumes that variables come in one or more classes and that the prior probability of an edge existing between two variables is a function only of their classes. We derive an MCMC algorithm for simultaneous inference of the number of classes, the class assignments of variables, and the Bayes net structure over variables. For several realistic, sparse datasets, we show that the bias towards systematicity of connections provided by our model yields more accurate learned networks than a traditional, uniform prior approach, and that the classes found by our model are appropriate.