Introduction to Probabilistic Machine Learning with PyMC3

Daniel Emaasit

Data Scientist

Haystax Technology

Bayesian Data Science DC Meetup

April 26, 2018

Data Science & Cybersecurity Meetup

 Materials

Download slides & code: bit.ly/intro-pml

Application (1/3)

  • Optimizing expensive functions in autonomous vehicles (using Bayesian optimization).

Application (2/3)

  • Probabilistic approach to ranking & matching gamers.

Application (3/3)

  • Supplying internet to remote areas (using Gaussian processes).

Media Attention

Academics flocking to Industry

Intro to Probabilistic Machine Learning

ML: A Probabilistic Perspective (1/3)

  • Probabilistic ML:
  • An Interdisciplinary field that develops both the mathematical foundations and practical applications of systems that learn models of data. (Ghahramani, 2018)

ML: A Probabilistic Perspective (2/3)

  • A Model:
  • A model describes data that one could observe from a system (Ghahramani, 2014)
  • Use the mathematics of probability theory to express all forms of uncertainty

Generative Process

Inference

ML: A Probabilistic Perspective (3/3)

P(\theta \mid y) = \frac{P(y \mid \theta) \, P(\theta)}{P(y)}
P(θy)=P(yθ)P(θ)P(y)P(\theta \mid y) = \frac{P(y \mid \theta) \, P(\theta)}{P(y)}
  • \(\mathbf{\theta}\) = parameters e.g. coefficients

\(p(\mathbf{\theta})\) = prior over the parameters

\(p(\textbf{y} \mid \mathbf{\theta})\) = likelihood given the covariates & parameters

\(p(\textbf{y})\) = data distribution to ensure normalization

\(p(\mathbf{\theta} \mid \textbf{y})\) = posterior over the parameters, given observed data

where:

Probabilistic ML Vs Traditional ML

Algorithmic ML Probabilistic ML
Examples K-Means, Random Forest GMM, Gaussian Process
Specification Model + Algorithm combined Model & Inference separate
Unknowns Parameters Random variables
Inference Optimization (MLE) Bayes (MCMC, VI)
Regularization Penalty terms Priors
Solution Best fitting parameter Full posterior distribution

Limitations of deep learning

  • Deep learning systems give amazing performance on many benchmark tasks but they are generally:
  • very data hungry (e.g. often millions of examples)
  • very compute-intensive to train and deploy (cloud GPU resources)
  • poor at representing uncertainty
  • easily fooled by adversarial examples
  • finicky to optimize: choice of architecture, learning procedure, etc, require expert knowledge and experimentation
  • uninterpretable black-boxes, lacking in transparency, difficult to trust

Probabilistic Programming

Probabilistic Programming (1/2)

  • Probabilisic Programming (PP) Languages:
  • Software packages that take a model and then automatically generate inference routines (even source code!) e.g Pyro, Stan, Infer.Net, PyMC3, TensorFlow Probability, etc.

Probabilistic Programming (2/2)

  • Steps in Probabilisic ML:
  • Build the model (Joint probability distribution of all the relevant variables)
  • Incorporate the observed data
  • Perform inference (to learn distributions of the latent variables)

Resources to get started

Thank You!

Appendix

References

  • Ghahramani, Z. (2015). Probabilistic machine learning and artificial intelligence. Nature, 521(7553), 452.
  • Bishop, C. M. (2013). Model-based machine learning. Phil. Trans. R. Soc. A, 371(1984), 20120222.
  • Murphy, K. P. (2012). Machine learning: a probabilistic perspective. MIT Press.
  • Barber, D. (2012). Bayesian reasoning and machine learning. Cambridge University Press.

Introduction to Probabilistic Machine Learning with PyMC3

By Daniel Emaasit

Introduction to Probabilistic Machine Learning with PyMC3

Introduction to Probabilistic Machine Learning with PyMC3

  • 1,264
Loading comments...

More from Daniel Emaasit