Delayed Sampling and Automatic Rao-Blackwellization of Probabilistic Programs

We introduce a dynamic mechanism for the solution of analytically-tractable substructure in probabilistic programs, using conjugate priors and affine transformations to reduce variance in Monte Carlo estimators. For inference with Sequential Monte Carlo, this automatically yields improvements such as locally-optimal proposals and Rao-Blackwellization. The mechanism maintains a directed graph alongside the running program that evolves dynamically as operations are triggered upon it. Nodes of the graph represent random variables, edges the analytically-tractable relationships between them. Random variables remain in the graph for as long as possible, to be sampled only when they are used by the program in a way that cannot be resolved analytically. In the meantime, they are conditioned on as many observations as possible. We demonstrate the mechanism with a few pedagogical examples, as well as a linear-nonlinear state-space model with simulated data, and an epidemiological model with real data of a dengue outbreak in Micronesia. In all cases one or more variables are automatically marginalized out to significantly reduce variance in estimates of the marginal likelihood, in the final case facilitating a random-weight or pseudo-marginal-type importance sampler for parameter estimation. We have implemented the approach in Anglican and a new probabilistic programming language called Birch.Comment: 13 pages, 4 figure

Verifying Performance Properties of Probabilistic Inference

In this extended abstract, we discuss the opportunity to formally verify that inference systems for probabilistic programming guarantee good performance. In particular, we focus on hybrid inference systems that combine exact and approximate inference to try to exploit the advantages of each. Their performance depends critically on a) the division between exact and approximate inference, and b) the computational resources consumed by exact inference. We describe several projects in this direction. Semi-symbolic Inference (SSI) is a type of hybrid inference system that provides limited guarantees by construction on the exact/approximate division. In addition to these limited guarantees, we also describe ongoing work to extend guarantees to a more complex class of programs, requiring a program analysis to ensure the guarantees. Finally, we also describe work on verifying that inference systems using delayed sampling -- another type of hybrid inference -- execute in bounded memory. Together, these projects show that verification can deliver the performance guarantees that probabilistic programming languages need

Ultrasound Nerve Segmentation Using Deep Probabilistic Programming

Deep probabilistic programming concatenates the strengths of deep learning to the context of probabilistic modeling for efficient and flexible computation in practice. Being an evolving field, there exist only a few expressive programming languages for uncertainty management. This paper discusses an application for analysis of ultrasound nerve segmentation-based biomedical images. Our method uses the probabilistic programming language Edward with the U-Net model and generative adversarial networks under different optimizers. The segmentation process showed the least Dice loss ("‘0.54) and the highest accuracy (0.99) with the Adam optimizer in the U-Net model with the least time consumption compared to other optimizers. The smallest amount of generative network loss in the generative adversarial network model gained was 0.69 for the Adam optimizer. The Dice loss, accuracy, time consumption and output image quality in the results show the applicability of deep probabilistic programming in the long run. Thus, we further propose a neuroscience decision support system based on the proposed approach