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It seems like sampling based inference approaches are the most common. Could you possibly comment on the current state of the art regarding more analytical app
by foob 10y ago
It seems like sampling based inference approaches are the most common. Could you possibly comment on the current state of the art regarding more analytical approaches? I sometimes deal with problems where it's possible to find closed form solutions but they're very painstaking to find by hand and can be extremely complicated. It would be incredible if a PPL compiler were able to do this grunt work and then produce code that could compute desired quantities directly.
- cf 10y agoThere are two lines of research in this direction. So there is work from my lab [1] and some folks at ETH-Zurich [2] is automatically finding closed form solutions. These when used do give performance equivalent to handwritten methods. Beyond that we are seeing some cool stuff with Blackbox Variational Inference [3] and other Automatic Variational [4] solvers coming out of Blei's lab. At present these capabilities are spread about the different system but I expect all them to eventually end up available in whichever you choose to use. [1] http://homes.soic.indiana.edu/ccshan/rational/simplify-padl.pdf http://homes.soic.indiana.edu/ccshan/rational/simplify-padl.... [2] http://www.srl.inf.ethz.ch/papers/psi-solver.pdf http://www.srl.inf.ethz.ch/papers/psi-solver.pdf [3] http://www.cs.columbia.edu/~blei/papers/RanganathGerrishBlei2014.pdf http://www.cs.columbia.edu/~blei/papers/RanganathGerrishBlei... [4] http://arxiv.org/pdf/1603.00788v1.pdf http://arxiv.org/pdf/1603.00788v1.pdf