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A multitude of different probabilistic programming languages exists today, all extending a traditional programming language with primitives to support modeling of complex, structured probability distributions. Each of these languages employs its own probabilistic primitives, and comes with a particular syntax, semantics and inference procedure. This makes it hard to understand the underlying programming concepts and appreciate the differences between the different languages. To obtain a better understanding of probabilistic programming, we identify a number of core programming concepts underlying the primitives used by various probabilistic languages, discuss the execution mechanisms that they require and use these to position and survey state-of-the-art probabilistic languages and their implementation. While doing so, we focus on probabilistic extensions of logic programming languages such as Prolog, which have been considered for over 20 years.

PyMC is a probabilistic programming library for Python that provides tools for constructing and fitting Bayesian models. It offers an intuitive, readable syntax that is close to the natural syntax statisticians use to describe models. PyMC leverages the symbolic computation library PyTensor, allowing it to be compiled into a variety of computational backends, such as C, JAX, and Numba, which in turn offer access to different computational architectures including CPU, GPU, and TPU. Being a general modeling framework, PyMC supports a variety of models including generalized hierarchical linear regression and classification, time series, ordinary differential equations (ODEs), and non-parametric models such as Gaussian processes (GPs). We demonstrate PyMC’s versatility and ease of use with examples spanning a range of common statistical models. Additionally, we discuss the positive role of PyMC in the development of the open-source ecosystem for probabilistic programming.

Probabilistic programming allows for automatic Bayesian inference on user-defined probabilistic models. Recent advances in Markov chain Monte Carlo (MCMC) sampling allow inference on increasingly complex models. This class of MCMC, known as Hamiltonian Monte Carlo, requires gradient information which is often not readily available. PyMC3 is a new open source probabilistic programming framework written in Python that uses Theano to compute gradients via automatic differentiation as well as compile probabilistic programs on-the-fly to C for increased speed. Contrary to other probabilistic programming languages, PyMC3 allows model specification directly in Python code. The lack of a domain specific language allows for great flexibility and direct interaction with the model. This paper is a tutorial-style introduction to this software package.

We describe NIMBLE, a system for programming statistical algorithms for general model structures within R. NIMBLE is designed to meet three challenges: flexible model specification, a language for programming algorithms that can use different models, and a balance between high-level programmability and execution efficiency. For model specification, NIMBLE extends the BUGS language and creates model objects, which can manipulate variables, calculate log probability values, generate simulations, and query the relationships among variables. For algorithm programming, NIMBLE provides functions that operate with model objects using two stages of evaluation. The first stage allows specialization of a function to a particular model and/or nodes, such as creating a Metropolis-Hastings sampler for a particular block of nodes. The second stage allows repeated execution of computations using the results of the first stage. To achieve efficient second-stage computation, NIMBLE compiles models and functions via C++, using the Eigen library for linear algebra, and provides the user with an interface to compiled objects. The NIMBLE language represents a compilable domain-specific language (DSL) embedded within R. This article provides an overview of the design and rationale for NIMBLE along with illustrative examples including importance sampling, Markov chain Monte Carlo (MCMC) and Monte Carlo expectation maximization (MCEM). Supplementary materials for this article are available online.

Several decades of research in the field of machine learning have resulted in a multitude of different algorithms for solving a broad range of problems. To tackle a new application, a researcher typically tries to map their problem onto one of these existing methods, often influenced by their familiarity with specific algorithms and by the availability of corresponding software implementations. In this study, we describe an alternative methodology for applying machine learning, in which a bespoke solution is formulated for each new application. The solution is expressed through a compact modelling language, and the corresponding custom machine learning code is then generated automatically. This model-based approach offers several major advantages, including the opportunity to create highly tailored models for specific scenarios, as well as rapid prototyping and comparison of a range of alternative models. Furthermore, newcomers to the field of machine learning do not have to learn about the huge range of traditional methods, but instead can focus their attention on understanding a single modelling environment. In this study, we show how probabilistic graphical models, coupled with efficient inference algorithms, provide a very flexible foundation for model-based machine learning, and we outline a large-scale commercial application of this framework involving tens of millions of users. We also describe the concept of probabilistic programming as a powerful software environment for model-based machine learning, and we discuss a specific probabilistic programming language called Infer.NET, which has been widely used in practical applications.

We propose a new probabilistic programming language for the design and analysis of cyber-physical systems, especially those based on machine learning. We consider several problems arising in the design process, including training a system to be robust to rare events, testing its performance under different conditions, and debugging failures. We show how a probabilistic programming language can help address these problems by specifying distributions encoding interesting types of inputs, then sampling these to generate specialized training and test data. More generally, such languages can be used to write environment models, an essential prerequisite to any formal analysis. In this paper, we focus on systems such as autonomous cars and robots, whose environment at any point in time is a scene , a configuration of physical objects and agents. We design a domain-specific language, Scenic , for describing scenarios that are distributions over scenes and the behaviors of their agents over time. Scenic combines concise, readable syntax for spatiotemporal relationships with the ability to declaratively impose hard and soft constraints over the scenario. We develop specialized techniques for sampling from the resulting distribution, taking advantage of the structure provided by Scenic ’s domain-specific syntax. Finally, we apply Scenic in multiple case studies for training, testing, and debugging neural networks for perception both as standalone components and within the context of a full cyber-physical system.

Stan is a free and open-source C++ program that performs Bayesian inference or optimization for arbitrary user-specified models and can be called from the command line, R, Python, Matlab, or Julia and has great promise for fitting large and complex statistical models in many areas of application. We discuss Stan from users 'and developers' perspectives and illustrate with a simple but nontrivial nonlinear regression example.

Probabilistic logic programming (PLP) provides a powerful tool for reasoning with uncertain relational models. However, learning probabilistic logic programs is expensive due to the high cost of inference. Among the proposals to overcome this problem, one of the most promising is lifted inference. In this paper we consider PLP models that are amenable to lifted inference and present an algorithm for performing parameter and structure learning of these models from positive and negative examples. We discuss parameter learning with EM and LBFGS and structure learning with LIFTCOVER, an algorithm similar to SLIPCOVER. The results of the comparison of LIFTCOVER with SLIPCOVER on 12 datasets show that it can achieve solutions of similar or better quality in a fraction of the time.

Lifted graphical models provide a language for expressing dependencies between different types of entities, their attributes, and their diverse relations, as well as techniques for probabilistic reasoning in such multi-relational domains. In this survey, we review a general form for a lifted graphical model, a par-factor graph, and show how a number of existing statistical relational representations map to this formalism. We discuss inference algorithms, including lifted inference algorithms, that efficiently compute the answers to probabilistic queries over such models. We also review work in learning lifted graphical models from data. There is a growing need for statistical relational models (whether they go by that name or another), as we are inundated with data which is a mix of structured and unstructured, with entities and relations extracted in a noisy manner from text, and with the need to reason effectively with this data. We hope that this synthesis of ideas from many different research groups will provide an accessible starting point for new researchers in this expanding field.

We consider probabilistically constrained stochastic programming problems, in which the random variables are in the right-hand sides of the stochastic inequalities defining the joint chance constraints. Problems of that kind arise in a variety of contexts, and are particularly difficult to solve for random variables with continuous joint distributions, because the calculation of the cumulative distribution function and its gradient values involves numerical integration and/or simulation in large dimensional spaces. We revisit known and provide new relaxations extensions to various probability bounding schemes that permit to approximate the feasible set of joint probabilistic constraints. The derived mathematical formulations relax the requirement to handle large multivariate cumulative distribution functions and involve instead the computation of marginal and bivariate cumulative distribution functions. We analyze the convexity of and computational challenges posed by the inferred relaxations