Chad Scherrer

Senior Data Scientist, Metis

https://bit.ly/2SNDr1N

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About Me

Making Rational Decisions

Managed Uncertainty

Rational Decisions

Bayesian Analysis

Probabilistic Programming

  • Physical systems
  • Hypothesis testing
  • Modeling as simulation
  • Medicine
  • Finance
  • Insurance

Risk

Custom models

Business Applications

Missing Data

The Two-Language Problem

A disconnect between the "user language" and "developer language"

X

3

Python

C

Deep Learning Framework

  • Harder for beginner users
  • Barrier to entry for developers
  • Limits extensibility

?

A New Approach in Julia

  • Models begin with "Tilde code" based on math notation


     
  • A Model is a "lossless" data structure

     
  • Combinators transform code before compilation

Model

Tilde code



\begin{aligned} \mu &\sim \text{Normal}(0,5)\\ \sigma &\sim \text{Cauchy}_+(0,3) \\ x_j &\sim \text{Normal}(\mu,\sigma) \end{aligned}
μNormal(0,5)σCauchy+(0,3)xjNormal(μ,σ)\begin{aligned} \mu &\sim \text{Normal}(0,5)\\ \sigma &\sim \text{Cauchy}_+(0,3) \\ x_j &\sim \text{Normal}(\mu,\sigma) \end{aligned}

Advantages

  • Transparent
  • Composable
  • Backend-agnostic
  • No intrinsic overhead

A Simple Example





P(\mu,\sigma|x)\propto P(\mu,\sigma)P(x|\mu,\sigma)
P(μ,σx)P(μ,σ)P(xμ,σ)P(\mu,\sigma|x)\propto P(\mu,\sigma)P(x|\mu,\sigma)
\begin{aligned} \mu &\sim \text{Normal}(0,5)\\ \sigma &\sim \text{Cauchy}_+(0,3) \\ x_j &\sim \text{Normal}(\mu,\sigma) \end{aligned}
μNormal(0,5)σCauchy+(0,3)xjNormal(μ,σ)\begin{aligned} \mu &\sim \text{Normal}(0,5)\\ \sigma &\sim \text{Cauchy}_+(0,3) \\ x_j &\sim \text{Normal}(\mu,\sigma) \end{aligned}
julia> nuts(m(:x), data=data, numSamples=10).samples
 (μ = 0.524, σ = 3.549) 
 (μ = 3.540, σ = 2.089)  
 (μ = 3.727, σ = 2.483) 
 (μ = 3.463, σ = 2.582) 
 (μ = 5.052, σ = 2.919) 
 (μ = 4.813, σ = 1.818) 
 (μ = 4.015, σ = 1.587)  
 (μ = 5.244, σ = 3.949)  
 (μ = 1.456, σ = 5.624)
 (μ = 4.045, σ = 2.010) 
m = @model begin
    μ ~ Normal(0, 5)
    σ ~ HalfCauchy(3)
    x ~ Normal(μ, σ) |> iid
end

Theory

Soss.jl

Some Simple Model Combinators

m = @model begin
    μ ~ Normal(0, 5)
    σ ~ HalfCauchy(3)
    x ~ Normal(μ, σ) |> iid
end
julia> m(:x)
m = @model x begin
    μ ~ Normal(0, 5)
    σ ~ HalfCauchy(3)
    x ~ Normal(μ, σ) |> iid
end
julia> m(x = [1.0, 1.1, 1.5])
@model begin
    x = [1.0, 1.1, 1.5]
    μ ~ Normal(0, 5)
    σ ~ HalfCauchy(3)
    x ~ Normal(μ, σ) |> iid
end

Observe values statically

or dynamically

Composability: "First Class" Models

m1 = @model begin
    ...
end
mix = @model x,components begin
    α = ones(length(components))
    weights ~ Dirichlet(α)
    x ~ MixtureModel(components,weights) |> iid
end
julia> mix(components=[m1, m2])
@model x begin
    components = [m1, m2]
    K = length(components)
    weights ~ Dirichlet(ones(K))
    x ~ MixtureModel(components, weights) |> iid
end
m2 = @model begin
    ...
end

Metaprogramming: Log-Density Calculation

function logdensity(model)
    body = postwalk(model.body) do x
        if @capture(x, v_ ~ dist_)
            assignment = ifelse(
                v ∈ parameters(model),
                :($v = par.$v),
                :($v = data.$v)
            )
            quote
                $assignment
                ℓ += logpdf($dist, $v)
            end
        else x
        end
    end

    return quote 
        function(par, data)
            ℓ = 0.0
            $body
            return ℓ
        end
    end

end
julia> m(:x)
@model x begin
    μ ~ Normal(0, 5)
    σ ~ HalfCauchy(3)
    x ~ Normal(μ, σ) |> iid
end
julia> logdensity(m(:x))
:(function (par, data)
      ℓ = 0.0
      μ = par.μ
      ℓ += logpdf(Normal(0, 5), μ)
      σ = par.σ
      ℓ += logpdf(HalfCauchy(3), σ)
      x = data.x
      ℓ += logpdf(Normal(μ, σ) |> iid, x)
      return ℓ
  end)

Static Dependency Analysis

julia> lda
@model (α, η, K, V, N) begin
    M = length(N)
    β ~ Dirichlet(repeat([η], V)) |> iid(K)
    θ ~ Dirichlet(repeat([α], K)) |> iid(M)
    z ~ For(1:M) do m
            Categorical(θ[m]) |> iid(N[m])
        end
    w ~ For(1:M) do m
            For(1:N[m]) do n
                Categorical(β[(z[m])[n]])
            end
        end
end
julia> dependencies(lda)
10-element Array{Pair{Array{Symbol,1},Symbol},1}:
               [] => :α
               [] => :η
               [] => :K
               [] => :V
               [] => :N
             [:N] => :M
     [:η, :V, :K] => :β
     [:α, :K, :M] => :θ
     [:M, :θ, :N] => :z
 [:M, :N, :β, :z] => :w

Blei, Ng, & Jordan (2003). Latent Dirichlet Allocation. JMLR, 3(4–5), 993–1022.

 

Future Work

  • More  model types
    • Online algorithms (Kalman filtering, etc)
    • Model type hierarchy (StanLike <: Universal, etc)
  • More back-ends
    • Existing PPLs
    • Variational inference (ADVI, Pyro-style, etc)
  • More model combinators
    • Non-centered parameterization
    • Distributional approximation
    • "Pre-Gibbs" decompositions

logo by James Fairbanks, on Julia  Discourse site

JuliaCon 2019

July 21-27

Baltimore, MD

Thank You!

2019-01-11 PyData Miami

By Chad Scherrer

2019-01-11 PyData Miami

  • 3,647