Automatic Reparameterisation in Probabilistic Programming

Jul 12, 2020

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Probabilistic programming has emerged as a powerful paradigm in statistics, applied science, and machine learning: by decoupling modelling from inference, it promises to allow modellers to directly reason about the processes generating data. However, the performance of inference algorithms can be dramatically affected by the parameterisation used to express a model, requiring users to transform their programs in non-intuitive ways. We argue for automating these transformations, and demonstrate that mechanisms available in recent modelling frameworks can implement non-centring and related reparameterisations. This enables new inference algorithms, and we propose two: a simple approach using interleaved sampling and a novel variational formulation that searches over a continuous space of parameterisations. We show that these approaches enable robust inference across a range of models, and can yield more efficient samplers than the best fixed parameterisation.

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The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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