JuliaCon 2020 | DynamicPPL: Stan-like Speed for Dynamic Probabilistic Models | Mohamed Tarek

We present DynamicPPL.jl, a modular library providing a lightning-fast infrastructure for probabilistic programming and Bayesian inference, used in Turing.jl. DynamicPPL enables Turing to have C/Stan-like speeds for Bayesian inference involving static and dynamic models alike. Beside run-time speed, DynamicPPL provides a user-friendly domain-specific language for defining and then querying probabilistic models.

We present the preliminary high-level design and features of DynamicPPL.jl (https://github.com/TuringLang/DynamicPPL.jl), a modular library providing a lightning-fast infrastructure for probabilistic programming, used as a backend for Turing.jl (https://github.com/TuringLang/Turing.jl). Beside a computational performance that is often close to or better than Stan, DynamicPPL provides an intuitive domain-specific language (DSL) that allows the rapid development of complex dynamic probabilistic programs. Being entirely written in Julia, a high-level dynamic programming language for numerical computing, DynamicPPL inherits a rich set of features available through the Julia ecosystem. Since DynamicPPL is a modular, stand-alone library, any probabilistic programming system written in Julia, such as Turing.jl, can use DynamicPPL to specify models and trace their model parameters. The main features of DynamicPPL are: 1) a meta-programming based DSL for specifying dynamic models using an intuitive tilde-based notation; 2) a tracing data-structure for tracking random variables in dynamic probabilistic models; 3) a rich contextual dispatch system allowing tailored behaviour during model execution; and 4) a user-friendly syntax for probabilistic queries. Finally, we show in a variety of experiments that DynamicPPL, in combination with Turing.jl, achieves computational performance that is often close to or better than Stan. Time Stamps:

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Видео JuliaCon 2020 | DynamicPPL: Stan-like Speed for Dynamic Probabilistic Models | Mohamed Tarek канала The Julia Programming Language