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A PyTorch-based library for probabilistic programming and inference compilation
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README.md

pyprob Build Status

pyprob is a PyTorch-based library for probabilistic programming and inference compilation. The main focus of this library is on coupling existing simulation codebases with probabilistic inference with minimal intervention.

pyprob is currently a research prototype in alpha testing stage, with more documentation and examples on the way. Watch this space!

Why pyprob?

The main advantage of pyprob, compared against other probabilistic programming languages like Pyro, is a fully automatic amortized inference procedure based on importance sampling. pyprob only requires a generative model to be specified. Particularly, pyprob allows for efficient inference using inference compilation which trains a recurrent neural network as a proposal network.

In Pyro such an inference network requires the user to explicitly define the control flow of the network, which is due to Pyro running the inference network and generative model sequentially. However, in pyprob the generative model and inference network runs concurrently. Thus, the control flow of the model is directly used to train the inference network. This alleviates the need for manually defining its control flow.

Additionally, Pyro does not currently support distributed training of the inference compilation network, whereas pyprob does.

Support for multiple languages

We support front ends in multiple languages through the PPX interface that allows execution of models and inference engines in separate programming languages, processes, and machines connected over a network. The currently supported languages are Python and C++.

  • Python: pyprob is implemented and directly usable from Python
  • C++: A lightweight C++ front end is available through the pyprob_cpp library

Inference engines

pyprob currently provides the following inference engines:

  • Markov chain Monte Carlo
    • Lightweight Metropolis Hastings (LMH)
    • Random-walk Metropolis Hastings (RMH)
  • Importance sampling
    • Regular sequential importance sampling (proposals from prior)
    • Inference compilation

Inference compilation is an amortized inference technique for performing fast repeated inference using deep neural networks to parameterize proposal distributions in the importance sampling family of inference engines. We are planning to add other inference engines, e.g., from the variational inference family.

Installation

Prerequisites:

  • Python 3.5 or higher. We recommend Anaconda.
  • PyTorch 0.4.0 or higher, installed by following instructions on the PyTorch web site.

Install from source

To use a cutting-edge version, clone this repository and install the pyprob package using:

git clone git@github.com:probprog/pyprob.git
cd pyprob
pip install .

Install using pip

To use the latest version available in Python Package Index, run:

pip install pyprob

Docker

A CUDA + PyTorch + pyprob image with the latest passing commit is automatically pushed to probprog/pyprob:latest

https://hub.docker.com/r/probprog/pyprob/

Usage, documentation, and examples

The simplest way to get started with pyprob, is to import the pyprob package and Model class.

import pyprob
from pyprob import Model

pyprob gives access to the sample and observe statements, which explicitly denotes latent and observable variables of the program. Model is a superclass containing methods for performing inference about the program.

Any distributions needed for the program is imported from pyprob.distributions:

from pyprob.distributions import Normal, Categorical # etc...

For a complete list of supported distributions see pyprob/distributions.

Example of a generative model

An illustrative example is the Gaussian with unknown mean, which can be written as a probabilistic program using pyprob in the following way,

import math
import pyprob
from pyprob import Model
from pyprob.distributions import Normal

class GaussianUnknownMean(Model):
    def __init__(self):
        super().__init__(name="Gaussian with unknown mean") # give the model a name
        self.prior_mean = 1
        self.prior_std = math.sqrt(5)
        self.likelihood_std = math.sqrt(2)

    def forward(self): # Needed to specifcy how the generative model is run forward
        # sample the (latent) mean variable to be inferred:
        mu = pyprob.sample(Normal(self.prior_mean, self.prior_std)) # NOTE: sample -> denotes latent variables

        # define the likelihood
        likelihood = Normal(mu, self.likelihood_std)

        # Lets add two observed variables
        # -> the 'name' argument is used later to assignment values:
        pyprob.observe(likelihood, name='obs0') # NOTE: observe -> denotes observable variables
        pyprob.observe(likelihood, name='obs1')

        # return the latent quantity of interest
        return mu

model = GaussianUnknownMean()

The task is to infer the unknown mean mu given/conditioned on the two observed variables obs0 and obs1.

Performing inference

In order to perform inference about the model (i.e. infer the posterior of mu) from the previous example, call the posterior_distribution method and assign values to the observe variables:

# sample from posterior (5000 samples)
posterior = model.posterior_results(
                                         num_traces=5000, # the number of samples estimating the posterior
                                         inference_engine=pyprob.InferenceEngine.IMPORTANCE_SAMPLING, # specify which inference engine to use
                                         observe={'obs0': 8, 'obs1': 9} # assign values to the observed values
                                         )

# sample mean
posterior_mean = posterior.mean
# sample standard deviation
posterior_stdd = posterior.stddev

Inferring more than one latent variable

In the Gassian with unknown mean example, only a single latent variable mu was returned. In case several latent variables are being returned the .map method controls those returned latent variables. The return value is also an empirical distribution object with the .mean and .steddev methods. The .map methods takes anonymous functions as arguments, which are applied to each sample:

import pyprob

...

class SomeGenerativeModel(Model):

    ...

    def forward(...):

        ...

        return (var_0, var_1, var_2, ...) # return the desired number of latent variables to be inferred

model = SomeGenerativeModel()
posterior = model.posterior_results(...)

posterior_first = posterior.map(lambda v: v[0]) # extract var_0
var_0_mean = posterior_first.mean

# map can also be used to apply general functions and evaluate the statistical result under the posterior
posterior_first_sqrt = posterior.map(lambda v: v[0]**2) # extract var_0**2
var_0_sqrt_mean = posterior_first_sqrt.mean

Visualization of and sampling from the posterior

Visualizing the result of performing inference is easily done using a histogram (see matplotlib's hist for additional options)

# assume "posterior_first" is available by running above commands
posterior_first.plot_histogram(show=True, bins=4)

Once a posterior is found sampling from the empirical distribution is done using the .sample method. Sampling from the empirical distribution is done with respect to the sample weights.

samples_first = [posterior_first.sample() for _ in range(1000)] # 1000 samples

Using other inference engines

The four aforementioned inference engines can be invoked by setting the inference_engine argument to one of the following:

pyprob.InferenceEngine.IMPORTANCE_SAMPLING # importance sampling using the prior as proposal distribution
pyprob.InferenceEngine.IMPORTANCE_SAMPLING_WITH_INFERENCE_NETWORK # importance sampling using inference compilation
pyprob.InferenceEngine.LIGHTWEIGHT_METROPOLIS_HASTINGS # Lightweight MH
pyprob.InferenceEngine.RANDOM_WALK_METROPOLIS_HASTINGS # Random-walk MH

Using Inference Compilation

In case of using IMPORTANCE_SAMPLING_WITH_INFERENCE_NETWORK, you should first set the specification of the inference network you want to use and let it train for a while. Training the inference network is inference compilation which results in better proposal distributions for importance sampling engine. The syntax for defining the network is the following:

pyprob.Model.learn_inference_network(self,
                                     num_traces=None,
                                     inference_network=InferenceNetwork.FEEDFORWARD,
                                     prior_inflation=PriorInflation.DISABLED,
                                     trace_store_dir=None,
                                     observe_embeddings={},
                                     batch_size=64,
                                     valid_size=64, valid_interval=5000,
                                     learning_rate=0.0001,
                                     weight_decay=1e-5,
                                     auto_save_file_name_prefix=None,
                                     auto_save_interval_sec=600)

As an example, this the following code trains an inference network for the example in this document.

model.learn_inference_network(num_traces=10000,
                              observe_embeddings={'obs0' : {'dim' : 32},
                                                  'obs1': {'dim' : 32}})

learn_inference_network should be provided with the following arguments:

  • num_traces: Specifies the number of traces (samples from the generative model) to be used for training the inference network.
  • observe_embeddings: Specifies network structure for observe embedding networks. It should be a dictionary for every observed variable name (defined by name argument to observe or sample statements) to its embedding network specification. The embedding network specification is itself a dictionary with a subset of the following keys:
    • dim: Specifies dimension of the embedding. Default value is 256.
    • embedding: Specifies the network type. By default, it is a fully connected network. It currently supports pyprob.ObserveEmbedding.FEEDFORWARD, pyprob.ObserveEmbedding.CNN2D5C and pyprob.ObserveEmbedding.CNN3D5C. Please refer to pyprob/nn/emdebbing_*.py for a list of supported network types and their definition.
    • depth: Specifies depth of the network. Default value is 2.
    • reshape: Specifies shape of the network input. By default, embedding network input has the same shape as the value sampled from corresponding observe statement's distribution.

Once the network is trained, you can set IMPORTANCE_SAMPLING_WITH_INFERENCE_NETWORK as inference_engine in model.posterior_distribution for performing inference.

# sample from posterior using importance sampling and inference network (100 samples)
posterior = model.posterior_results(
                                         num_traces=100, # the number of samples estimating the posterior
                                         inference_engine=pyprob.InferenceEngine.IMPORTANCE_SAMPLING_WITH_INFERENCE_NETWORK, # specify which inference engine to use
                                         observe={'obs0': 8, 'obs1': 9} # assign values to the observed values
                                         )

More examples

The examples folder in this repository provides some working models and inference workflows as Jupyter notebooks.

A set of continuous integration tests are available in this repository, including those checking for correctness of inference over a range of reference models and inference engines.

Information and citing

Our paper at AISTATS 2017 provides an in-depth description of the inference compilation technique.

If you use pyprob and/or would like to cite our paper, please use the following information:

@inproceedings{le-2016-inference,
  author = {Le, Tuan Anh and Baydin, Atılım Güneş and Wood, Frank},
  booktitle = {Proceedings of the 20th International Conference on Artificial Intelligence and Statistics (AISTATS)},
  title = {Inference Compilation and Universal Probabilistic Programming},
  year = {2017},
  volume = {54},
  pages = {1338--1348},
  series = {Proceedings of Machine Learning Research},
  address = {Fort Lauderdale, FL, USA},
  publisher = {PMLR}
}

License

pyprob is distributed under the BSD License.

Authors

pyprob has been developed by Atılım Güneş Baydin and Tuan Anh Le within the Programming Languages and AI group led by Frank Wood at the University of Oxford and University of British Columbia.

For the full list of contributors, see:

https://github.com/probprog/pyprob/graphs/contributors

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