Scala Infer

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Scala Infer

With the addition of a few keywords, scala-infer turns scala into a probabilistic programming language. To achieve scalability, inference is based on gradients of the (variational approximation to) the posterior distribution. Each draw from a distribution is accompanied by a guide distribution.

A probabilistic model in scala-infer is written as regular scala code. Values are drawn from distributions and are used to generate data. Such a model is known as generative, as it provides an explicit process.

Three new keywords are introduced:

  • infer to define a model
  • sample to draw a random variable from a distribution
  • observe to bind data to distributions in the model

When a value is sampled, two distributions are needed; the prior and the (variational approximation to) the posterior. Actual sample values are drawn from the posterior, but the prior is the starting point of the buildup of the posterior. Without observations, the posterior would be equal to the prior.

Parameters of the variational posterior are optimized by gradient descent. For each sample from the model, a backward pass calculates the gradients of the loss function. For variational inference, the loss function is the ELBO, a lower bound on the evidence.

Different tactics are used for discrete and continuous variables. For continuous variables, the reparametrization trick can be used to obtain a low variance estimator. Discrete variables use black-box variational inference, which only requires gradients of the score function to the parameters.

Including it in your sbt project

To leverage scala-infer in your project, update plugins.sbt with

resolvers += Resolver.bintrayRepo("scala-infer", "maven")

and in build.sbt, add

libraryDependencies += "scala-infer" %% "scala-infer" % "0.3"

Including it in a jupyter notebook

With the installation of Almond it is possible to use Scala in a Jupyter environment. Assuming it is installed, execute

interp.repositories() ++= Seq(
    coursier.MavenRepository("https://dl.bintray.com/scala-infer/maven")
)

followed by

import $ivy.`scala-infer::scala-infer:0.3`

to get the goodness of scala-infer at your disposal.

Source

The source for scala-infer can be found at https://github.com/scala-infer/scala-infer.