Extending Stan for Deep Probabilistic Programming

Stan is a popular declarative probabilistic programming language with a high-level syntax for expressing graphical models and beyond. Stan differs by nature from generative probabilistic programming languages like Church, Anglican, or Pyro. This paper presents a comprehensive compilation scheme to compile any Stan model to a generative language and proves its correctness. This sheds a clearer light on the relative expressiveness of different kinds of probabilistic languages and opens the door to combining their mutual strengths. Specifically, we use our compilation scheme to build a compiler from Stan to Pyro and extend Stan with support for explicit variational inference guides and deep probabilistic models. That way, users familiar with Stan get access to new features without having to learn a fundamentally new language. Overall, our paper clarifies the relationship between declarative and generative probabilistic programming languages and is a step towards making deep probabilistic programming easier

A variational approach to path estimation and parameter inference of hidden diffusion processes

We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal process given the full set of observations. This, in particular, leads to systematic approximations of the smoothing densities of the signal process. The paper then demonstrates how an efficient inference scheme, based on this variational approach to the approximation of the hidden states, can be designed to estimate the unknown parameters of stochastic differential equations. Two examples at the end illustrate the efficacy and the accuracy of the presented method.Comment: 37 pages, 2 figures, revise

Gradual Liquid Type Inference

Liquid typing provides a decidable refinement inference mechanism that is convenient but subject to two major issues: (1) inference is global and requires top-level annotations, making it unsuitable for inference of modular code components and prohibiting its applicability to library code, and (2) inference failure results in obscure error messages. These difficulties seriously hamper the migration of existing code to use refinements. This paper shows that gradual liquid type inference---a novel combination of liquid inference and gradual refinement types---addresses both issues. Gradual refinement types, which support imprecise predicates that are optimistically interpreted, can be used in argument positions to constrain liquid inference so that the global inference process e effectively infers modular specifications usable for library components. Dually, when gradual refinements appear as the result of inference, they signal an inconsistency in the use of static refinements. Because liquid refinements are drawn from a nite set of predicates, in gradual liquid type inference we can enumerate the safe concretizations of each imprecise refinement, i.e. the static refinements that justify why a program is gradually well-typed. This enumeration is useful for static liquid type error explanation, since the safe concretizations exhibit all the potential inconsistencies that lead to static type errors. We develop the theory of gradual liquid type inference and explore its pragmatics in the setting of Liquid Haskell.Comment: To appear at OOPSLA 201

Playing with Duality: An Overview of Recent Primal-Dual Approaches for Solving Large-Scale Optimization Problems

Optimization methods are at the core of many problems in signal/image processing, computer vision, and machine learning. For a long time, it has been recognized that looking at the dual of an optimization problem may drastically simplify its solution. Deriving efficient strategies which jointly brings into play the primal and the dual problems is however a more recent idea which has generated many important new contributions in the last years. These novel developments are grounded on recent advances in convex analysis, discrete optimization, parallel processing, and non-smooth optimization with emphasis on sparsity issues. In this paper, we aim at presenting the principles of primal-dual approaches, while giving an overview of numerical methods which have been proposed in different contexts. We show the benefits which can be drawn from primal-dual algorithms both for solving large-scale convex optimization problems and discrete ones, and we provide various application examples to illustrate their usefulness