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Bayesian Optimization for Probabilistic Programs

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Probabilistic programming systems (PPS) allow probabilistic models to be represented in the form of a generative model and statements for conditioning on data. Their core philosophy is to decouple model specification and inference, the former corresponding to the user-specified program code and the latter to an inference engine capable of operating on arbitrary programs. Removing the need for users to write inference algorithms significantly reduces the burden of developing new models and makes effective statistical methods accessible to non-experts.

In this talk I will present BOPP : a general purpose framework for (type II) maximum likelihood and marginal maximum a posteriori estimation of probabilistic program variables. By using a series of code transformations, the evidence of any probabilistic program, and therefore of any graphical model, can be optimized with respect to an arbitrary subset of its sampled variables. To carry out this optimization, we develop the first Bayesian optimization package to directly exploit the source code of its target, leading to innovations in problem-independent hyperpriors, unbounded optimization, and implicit constraint satisfaction; delivering significant performance improvements over prominent existing packages. We present applications of our method to a number of tasks including engineering design and parameter optimization.

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