Bayesian Optimization for Probabilistic Programs
Abstract
We present the first general purpose framework for 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.
Cite
@article{arxiv.1707.04314,
title = {Bayesian Optimization for Probabilistic Programs},
author = {Tom Rainforth and Tuan Anh Le and Jan-Willem van de Meent and Michael A. Osborne and Frank Wood},
journal= {arXiv preprint arXiv:1707.04314},
year = {2017}
}