bayinx 0.5.7

Bayesian Inference with JAX

Bayinx: Bayesian Inference with JAX

Bayinx is an embedded probabilistic programming language in Python, powered by JAX. It is heavily inspired by and aims to have feature parity with Stan, but extends the types of objects you can work with and focuses on normalizing flows variational inference for sampling.

Coming From Stan

There are a few differences between the syntax of Bayinx and Stan. First, as Bayinx is embedded in Python, model definitions are Pythonic and rely on you defining a class that inherits from the Model base class:

class MyModel(Model):
    # ...

Note: You should NOT implement your own __init__ method!

The data and parameters blocks in Stan are then combined into the attribute definitions with Bayinx. For example, if we are modelling a simple normal distribution with an unknown mean and variance 1, then we might write:

class MyModel(Model):
    mean: Continuous[Array] = define(shape = ()) # a scalar mean parameter
    x: Observed[Array] = define(shape = 'n_obs') # a vector of observed values

    # ...

The model block in Stan is then defined by implementing the model method with Bayinx:

class MyModel(Model):
    mean: Continuous[Array] = define(shape = ())
    x: Observed[Array] = define(shape = 'n_obs')

    def model(self, target):
        # Equivalent to 'x ~ normal(mean, 1.0)' in Stan
        self.x << Normal(self.mean, 1.0)

        return target

Notice that the ~ operator in Stan has been replaced with <<, and to reference nodes of a model you must work with self.

Note: Bayinx does not currently have something similar to transformed data or transformed parameters, however that is likely to be included in a future release.

You can then construct the variational approximation to the posterior:

import bayinx as byx
from bayinx.flows import DiagAffine
import jax.numpy as jnp

# Fit variational approximation
posterior = byx.Posterior(MyModel, n_obs = 3, x = jnp.array([-1.0, 0.0, 1.0]))
posterior.configure(flowspecs = [DiagAffine()])
posterior.fit()

This approximation can then be worked with by sampling nodes:

mean_draws = posterior.sample('mean', 10000)
print(mean_draws.mean())

Roadmap

• Implement OT-Flow: https://arxiv.org/abs/2006.00104
• Allow shape definitions to include expressions (e.g., shape = 'n_obs + 1' will evaluate to the correct specification)
• Find a nice way to track the ELBO trajectory to implement early stoppage (tolerance currently does nothing).
• Allow users to specify custom tolerance criteria.