Thomas originally posted this article here at http://twiecki.github.io  We recently released PyMC3 3.1 after the first stable 3.0 release in January 2017. You can update...

Thomas originally posted this article here at http://twiecki.github.io 

We recently released PyMC3 3.1 after the first stable 3.0 release in January 2017. You can update either via pip install pymc3 or via conda install -c conda-forge pymc3.

A lot is happening in PyMC3-land. One thing I am particularily proud of is the developer community we have built. We now have around 10 active core contributors from the US, Germany, Russia, Japan and Switzerland. Specifically, since 3.0, Adrian Seyboldt, Junpeng Lao and Hannes Bathke have joined the team. Moreover, we have 3 Google Summer of Code students: Maxime Kochurov, who is working on Variational Inference; Bill Engels, who is working on Gaussian Processes, and Bhargav Srinivasa is implementing Riemannian HMC.

Moreover, PyMC3 is being seeing increased adoption in academia, as well as in industry.

Here, I want to highlight some of the new features of PyMC3 3.1.


Discourse forum + better docs

To facilitate the community building process and give users a place to ask questions we have a launched a discourse forum: http://discourse.pymc.io. Bug reports should still onto the Github issue tracker, but for all PyMC3 questions or modeling discussions, please use the discourse forum.

There are also some improvements to the documentation. Mainly, a quick-start to the general PyMC3 API, and a quick-start to the variational API.



Gaussian Processes

PyMC3 now as high-level support for GPs which allow for very flexible non-linear curve-fitting (among other things). This work was mainly done by Bill Engels with help from Chris Fonnesbeck. Here, we highlight the basic API, but for more information see the full introduction.

In [1]:
%matplotlib inline
import matplotlib.pyplot as plt
import matplotlib.cm as cmap
cm = cmap.inferno

import numpy as np
import scipy as sp
import seaborn as sns

import theano
import theano.tensor as tt
import theano.tensor.nlinalg

import pymc3 as pm
In [3]:
n = 20
X = pm.floatX(np.sort(3*np.random.rand(n))[:,None])

# generate fake data from GP with white noise (with variance sigma2)
y = pm.floatX(
    np.array([ 1.36653628,  1.15196999,  0.82142869,  0.85243384,  0.63436304,
               0.14416139,  0.09454237,  0.32878065,  0.51946622,  0.58603513,
               0.46938673,  0.63876778,  0.48415033,  1.28011185,  1.52401102,
               1.38430047,  0.47455605, -0.21110139, -0.49443319, -0.25518805])
In [4]:
Z = pm.floatX(np.linspace(0, 3, 100)[:, None])

with pm.Model() as model:
    # priors on the covariance function hyperparameters and noise
    l = pm.Uniform('l', 0, 10)
    log_s2_f = pm.Uniform('log_s2_f', lower=-10, upper=5)
    log_s2_n = pm.Uniform('log_s2_n', lower=-10, upper=5)
    f_cov = tt.exp(log_s2_f) * pm.gp.cov.ExpQuad(1, l)

    # Instantiate GP
    y_obs = pm.gp.GP('y_obs', cov_func=f_cov, sigma=tt.exp(log_s2_n), 
                     observed={'X': X, 'Y': y})
    trace = pm.sample()
    # Draw samples from GP
    gp_samples = pm.gp.sample_gp(trace, y_obs, Z, samples=50, random_seed=42)
Auto-assigning NUTS sampler...
Initializing NUTS using ADVI...
Average Loss = 27.649:   6%|▌         | 12091/200000 [00:09<02:15, 1386.23it/s]
Convergence archived at 12100
Interrupted at 12,100 [6%]: Average Loss = 9,348
100%|██████████| 1000/1000 [00:20<00:00, 49.74it/s]
100%|██████████| 50/50 [00:12<00:00,  3.93it/s]
In [5]:
fig, ax = plt.subplots(figsize=(9, 5))

[ax.plot(Z, x, color=cm(0.3), alpha=0.3) for x in gp_samples]
# overlay the observed data
ax.plot(X, y, 'ok', ms=10);
ax.set(xlabel="x", ylabel="f(x)", title="Posterior predictive distribution");

Improvements to NUTS

NUTS is now identical to Stan’s implementation and also much much faster. In addition, Adrian Seyboldt added higher-order integrators, which promise to be more efficient in higher dimensions, and sampler statistics that help identify problems with NUTS sampling.

In addition, we changed the default kwargs of pm.sample(). By default, the sampler is run for 500 iterations with tuning enabled (you can change this with the tune kwarg), these samples are then discarded from the returned trace. Moreover, if no arguments are specified, sample() will draw 500 samples in addition to the tuning samples. So for almost all models, just calling pm.sample() should be sufficient.

In [12]:
with pm.Model():
    mu1 = pm.Normal("mu1", mu=0, sd=1, shape=1000)
    trace = pm.sample(discard_tuned_samples=False) # do not remove tuned samples for the plot below
Auto-assigning NUTS sampler...
Initializing NUTS using ADVI...
Average Loss = 7.279:  14%|█▍        | 28648/200000 [00:08<00:53, 3176.47it/s] 
Convergence archived at 28900
Interrupted at 28,900 [14%]: Average Loss = 8.9536
100%|██████████| 1000/1000 [00:03<00:00, 263.60it/s]

trace now has a bunch of extra parameters pertaining to statistics of the sampler:

In [13]:
fig, ax = plt.subplots(figsize=(8, 5))
ax.plot(trace['step_size_bar']); ax.set(xlabel='iteration', ylabel='step size');

Variational Inference

Maxim “Ferrine” Kochurov has done outstanding contributions to improve support for Variational Inference. Essentially, Ferrine has implemented Operator Variational Inference (OPVI) which is a framework to express many existing VI approaches in a modular fashion. He has also made it much easier to supply mini-batches. See here for a full overview of the capabilities.

Specifically, PyMC3 supports the following VI methods:

  • Auto-diff Variational Inference (ADVI) mean-field
  • ADVI full rank
  • Stein Variational Gradient Descent (SVGD)
  • Armortized SVGD

In addition, Ferrine is making great progress on adding Flows which allows learning very flexible transformations of the VI approximation to learn more complex (i.e. non-normal) posterior distributions.

In [31]:
x = np.random.randn(10000)
x_mini = pm.Minibatch(x, batch_size=100)

with pm.Model():
    mu = pm.Normal('x', mu=0, sd=1)
    sd = pm.HalfNormal('sd', sd=1)
    obs = pm.Normal('obs', mu=mu, sd=sd, observed=x_mini)
    vi_est = pm.fit() # Run ADVI
    vi_trace = vi_est.sample() # sample from VI posterior
Average Loss = 149.38: 100%|██████████| 10000/10000 [00:01<00:00, 9014.13it/s]
Finished [100%]: Average Loss = 149.33
In [26]:
plt.ylabel('ELBO'); plt.xlabel('iteration');
In [34]:

As you can see, we have also added a new high-level API in the spirit of samplepymc3.fit()with many configuration options:

In [36]:
Help on function fit in module pymc3.variational.inference:

fit(n=10000, local_rv=None, method='advi', model=None, random_seed=None, start=None, inf_kwargs=None, **kwargs)
    Handy shortcut for using inference methods in functional way
    n : `int`
        number of iterations
    local_rv : dict[var->tuple]
        mapping {model_variable -> local_variable (:math:`mu`, :math:`rho`)}
        Local Vars are used for Autoencoding Variational Bayes
        See (AEVB; Kingma and Welling, 2014) for details
    method : str or :class:`Inference`
        string name is case insensitive in {'advi', 'fullrank_advi', 'advi->fullrank_advi', 'svgd', 'asvgd'}
    model : :class:`pymc3.Model`
        PyMC3 model for inference
    random_seed : None or int
        leave None to use package global RandomStream or other
        valid value to create instance specific one
    inf_kwargs : dict
        additional kwargs passed to :class:`Inference`
    start : `Point`
        starting point for inference
    Other Parameters
    frac : `float`
        if method is 'advi->fullrank_advi' represents advi fraction when training
    kwargs : kwargs
        additional kwargs for :func:`Inference.fit`

SVGD for example is an algorithm that updates multiple particles and is thus well suited for multi-modal posteriors.

In [49]:
with pm.Model():
                     mu=np.array([0., .5]), 
                     w=np.array([.4, .6]), 
                     sd=np.array([.1, .1]))
    vi_est = pm.fit(method='SVGD')
    vi_est = vi_est.sample(5000)
100%|██████████| 10000/10000 [00:24<00:00, 407.10it/s]
In [50]:
<matplotlib.axes._subplots.AxesSubplot at 0x12f335208>
Thomas Wiecki

I'm driven by solving hard real-world problems -- like gaining insight from data -- using technology (Python and HPC) and statistics (Bayesian Inference and Machine Learning).