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MIA Talks

Automated inference and the promise of probabilistic programming

September 21, 2016
Dept. of Computer Science, Columbia University

Generative probability models allow us to 1) express assumptions about hidden patterns in data, 2) infer such hidden patterns, and 3) evaluate the accuracy of our findings.

However, designing modern models, developing custom inference algorithms, and evaluating accuracy requires enormous effort and cross-disciplinary expertise. Probabilistic programming promises to enable this process by making each step less arduous and more automated.

I will begin describing how probabilistic programming can help design modern probability models. I will then focus on automating inference for a wide class of probability models. To this end, I will describe automatic differentiation variational inference, a fully automated approximate inference algorithm. I will demonstrate its application to a mixture modeling analysis of a dataset with millions of observations. I intend to conclude with some thoughts on model evaluation, with a population genetics example.

Throughout this talk, I will highlight connections to our software project, Edward: a Python library for probabilistic modeling, inference, and evaluation.