论文标题

Liesel:用于开发半参数回归模型和自定义贝叶斯推理算法的概率编程框架

Liesel: A Probabilistic Programming Framework for Developing Semi-Parametric Regression Models and Custom Bayesian Inference Algorithms

论文作者

Riebl, Hannes, Wiemann, Paul F. V., Kneib, Thomas

论文摘要

Liesel是一种开发的新概率编程框架,目的是支持基于Markov Chain Monte Carlo(MCMC)模拟的贝叶斯推论的研究,尤其是半参数回归规格。它的三个主要组件是(i)用于配置初始半参数回归模型的R接口(rliesel),(ii)基于图形的模型构建库,可以操纵初始模型图以结合新的研究思想,以及(iii)MCMC库,用于设计模块化算法的MCMC库,用于组合模块化算法的多种类型的良好定制的MCC和可能是定制的MCC。图形构建器以及MCMC库在Python中实现,依靠JAX作为数值计算库,因此可以从最新的机器学习技术中受益,例如自动差异化,即时(JIT)汇编,以及使用高强度计算设备(TPPUS)(TPUS)。 Liesel为复杂模型和估计算法提供了有效且可靠的统计研究的所有必需工具。它的模块化设计允许用户扩展模型库和推理算法,提供灵活性和自定义选项,以根据任何特定的研究需求调整软件。

Liesel is a new probabilistic programming framework developed with the aim of supporting research on Bayesian inference based on Markov chain Monte Carlo (MCMC) simulations in general and semi-parametric regression specifications in particular. Its three main components are (i) an R interface (RLiesel) for the configuration of an initial semi-parametric regression model, (ii) a graph-based model building library, where the initial model graph can be manipulated to incorporate new research ideas, and (iii) an MCMC library for designing modular inference algorithms combining multiple types of well-tested and possibly customized MCMC kernels. The graph builder as well as the MCMC library are implemented in Python, relying on JAX as a numerical computing library, and can therefore benefit from the latest machine learning technology such as automatic differentiation, just-in-time (JIT) compilation, and the use of high-performance computing devices such as tensor processing units (TPUs). Liesel provides all required tools for efficient and reliable statistical research on complex models and estimation algorithms. Its modular design allows users to expand the model library and inference algorithms, offering the flexibility and customization options to tailor the software to any specific research needs.

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