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ICFP 2018
Sun 23 - Sat 29 September 2018 St. Louis, Missouri, United States
Mon 24 Sep 2018 17:02 - 17:25 at Stifel Theatre - Probabilistic Programming and Learning Chair(s): Michael Sperber

We present an architectural design of a library for Bayesian modelling and inference in modern functional programming languages. The novel aspect of our approach are modular correct-by-construction implementa- tions of existing state-of-the-art inference algorithms. Our design relies on three inherently functional features: higher-order functions, inductive data-types, and support for either type-classes or an expressive module system. We provide a performant Haskell implementation of this architecture, demonstrating that high-level and modular probabilistic programming can be added as a library in sufficiently expressive languages. We review the core abstractions in this architecture: inference representations, inference transformations, and inference representation transformers. We then implement concrete instances of these abstractions, counterparts to particle filters and Metropolis-Hastings samplers, which form the basic building blocks of our library. By composing these building blocks we obtain state-of-the-art inference algorithms: Resample-Move Sequential Monte Carlo, Particle Marginal Metropolis-Hastings, and Sequential Monte Carlo squared. We evaluate our implementation against existing probabilistic programming systems and find it is already com- petitively performant, although we conjecture that existing functional programming optimisation techniques could reduce the overhead associated with the abstractions we use. We show that our modular design enables deterministic testing of inherently stochastic Monte Carlo algorithms. Finally, we demonstrate using OCaml that an expressive module system can also implement our design.

Mon 24 Sep

16:40 - 18:10: Research Papers - Probabilistic Programming and Learning at Stifel Theatre
Chair(s): Michael SperberActive Group GmbH
icfp-2018-papers153780000000016:40 - 17:02
Conal ElliottTarget, USA
icfp-2018-papers153780135000017:02 - 17:25
Adam ŚcibiorUniversity of Cambridge and MPI Tuebingen, Ohad KammarUniversity of Oxford, Zoubin GhahramaniUniversity of Cambridge
icfp-2018-papers153780270000017:25 - 17:47
Mitchell WandNortheastern University, USA, Ryan CulpepperCzech Technical University, Theophilos GiannakopoulosBAE Systems, Inc., Andrew CobbNortheastern University
icfp-2018-papers153780405000017:47 - 18:10
José Bacelar AlmeiraUniversity of Minho & INESC TEC, Alcino CunhaUniversity of Minho and INESC TEC, Portugal, Nuno MacedoUniversity of Minho & INESC TEC, Hugo PachecoUniversity of Minho, Portugal, José ProençaHASLab/INESC TEC & University of Minho