Stan: A platform for Bayesian inferencegelman/presentations/stantalk... · 2014. 11. 14. · 33/44...

Big Data need Big Model

Stan: A platform for Bayesian inference

Andrew Gelman, Bob Carpenter, Matt Hoffman, Daniel Lee,Ben Goodrich, Michael Betancourt, Marcus Brubaker,

Jiqiang Guo, Peter Li, Allen Riddell,. . .

Department of Statistics, Columbia University, New York(and other places)

10 Nov 2014

Gelman Carpenter Hoffman Lee Goodrich Betancourt . . . Stan: A platform for Bayesian inference

Ordered probit

data {int<lower=2> K;int<lower=0> N;int<lower=1> D;int<lower=1,upper=K> y[N];row_vector[D] x[N]; }

parameters {vector[D] beta;ordered[K-1] c; }

model {vector[K] theta;for (n in 1:N) {

real eta;eta <- x[n] * beta;theta[1] <- 1 - Phi(eta - c[1]);for (k in 2:(K-1))

theta[k] <- Phi(eta - c[k-1]) - Phi(eta - c[k]);theta[K] <- Phi(eta - c[K-1]);y[n] ~ categorical(theta);

} }Gelman Carpenter Hoffman Lee Goodrich Betancourt . . . Stan: A platform for Bayesian inference

Measurement error model

data {...real x_meas[N]; // measurement of xreal<lower=0> tau; // measurement noise

}parameters {

real x[N]; // unknown true valuereal mu_x; // prior locationreal sigma_x; // prior scale...

}model {

x ~ normal(mu_x, sigma_x); // priorx_meas ~ normal(x, tau); // measurement modely ~ normal(alpha + beta * x, sigma);...

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn samplerI AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian models

I Specify log posterior density in C++I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn samplerI AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++

I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn samplerI AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++I Code a distribution once, then use it everywhere

I Hamiltonian No-U-Turn samplerI AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn sampler

I AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn samplerI Autodiff

I Runs from R, Python, Matlab, Julia; postprocessing

Stan overview

I Fit open-ended Bayesian modelsI Specify log posterior density in C++I Code a distribution once, then use it everywhereI Hamiltonian No-U-Turn samplerI AutodiffI Runs from R, Python, Matlab, Julia; postprocessing

People

I Stan core (15)I Research collaborators (30)I Developers (100)I User community (1000)I Users (10000)

People

I Stan core (15)

I Research collaborators (30)I Developers (100)I User community (1000)I Users (10000)

People

I Stan core (15)I Research collaborators (30)I Developers (100)

I User community (1000)I Users (10000)

People

I Stan core (15)I Research collaborators (30)I Developers (100)I User community (1000)

I Users (10000)

People

I Stan core (15)I Research collaborators (30)I Developers (100)I User community (1000)I Users (10000)

Funding

I National Science FoundationI Institute for Education SciencesI Department of EnergyI NovartisI YouGov

Roles of Stan

I Bayesian inference for unsophisticated users (alternative toStata, Bugs, etc.)

I Bayesian inference for sophisticated users (alternative toprogramming it yourself)

I Fast and scalable gradient computationI Environment for developing new algorithms

Roles of Stan

I Fast and scalable gradient computation

I Environment for developing new algorithms

Roles of Stan

“This week, the New York Times and CBS News published a storyusing, in part, information from a non-probability, opt-in surveysparking concern among many in the polling community. In general,these methods have little grounding in theory and the results canvary widely based on the particular method used.”— Michael Link,President, American Association for Public Opinion Research

Xbox estimates, adjusting for demographics

I Karl Rove, Wall Street Journal, 7 Oct: “Mr. Romney’s bounceis significant.”

I Nate Silver, New York Times, 6 Oct: “Mr. Romney has notonly improved his own standing but also taken voters awayfrom Mr. Obama’s column.”

Xbox estimates, adjusting for demographics and partisanship

Jimmy Carter Republicans and George W. Bush Democrats

Toxicology

Earth science

Lots of other applications

Astronomy, ecology, linguistics, epidemiology, soil science, . . .

Steps of Bayesian data analysis

I Model buildingI InferenceI Model checkingI Model understanding and improvement

I Model building

I InferenceI Model checkingI Model understanding and improvement

I Model buildingI Inference

I Model checkingI Model understanding and improvement

I Model buildingI InferenceI Model checking

I Model understanding and improvement

I Model buildingI InferenceI Model checkingI Model understanding and improvement

Background on Bayesian computation

I Point estimates and standard errorsI Hierarchical modelsI Posterior simulationI Markov chain Monte Carlo (Gibbs sampler and Metropolis

algorithm)I Hamiltonian Monte Carlo

I Point estimates and standard errors

I Hierarchical modelsI Posterior simulationI Markov chain Monte Carlo (Gibbs sampler and Metropolis

I Point estimates and standard errorsI Hierarchical models

I Posterior simulationI Markov chain Monte Carlo (Gibbs sampler and Metropolis

I Point estimates and standard errorsI Hierarchical modelsI Posterior simulation

I Markov chain Monte Carlo (Gibbs sampler and Metropolisalgorithm)

I Hamiltonian Monte Carlo

algorithm)

I Hamiltonian Monte Carlo

Solving problems

I Problem: Gibbs too slow, Metropolis too problem-specificI Solution: Hamiltonian Monte Carlo

I Problem: Interpreters too slow, won’t scaleI Solution: Compilation

I Problem: Need gradients of log posterior for HMCI Solution: Reverse-mode algorithmic differentation

I Problem: Existing algo-diff slow, limited, unextensibleI Solution: Our own algo-diff

I Problem: Algo-diff requires fully templated functionsI Solution: Our own density library, Eigen linear algebra

Solving problems

I Problem: Gibbs too slow, Metropolis too problem-specific

I Solution: Hamiltonian Monte Carlo

Solving problems

I Problem: Interpreters too slow, won’t scale

I Solution: Compilation

Solving problems

I Problem: Need gradients of log posterior for HMC

I Solution: Reverse-mode algorithmic differentation

Solving problems

I Problem: Existing algo-diff slow, limited, unextensible

I Solution: Our own algo-diff

Solving problems

I Problem: Algo-diff requires fully templated functions

I Solution: Our own density library, Eigen linear algebra

Solving problems

Radford Neal (2011) on Hamiltonian Monte Carlo

“One practical impediment to the use of Hamiltonian Monte Carlois the need to select suitable values for the leapfrog stepsize, ε, andthe number of leapfrog steps L . . . Tuning HMC will usually requirepreliminary runs with trial values for ε and L . . . Unfortunately,preliminary runs can be misleading . . . ”

The No U-Turn Sampler

I Created by Matt HoffmanI Run the HMC steps until they start to turn around

(bend with an angle > 180◦)I Computationally efficientI Requires no tuning of #stepsI Complications to preserve detailed balance

NUTS Example TrajectoryHoffman and Gelman

−0.1 0 0.1 0.2 0.3 0.4 0.5−0.1

Figure 2: Example of a trajectory generated during one iteration of NUTS. The blue ellipseis a contour of the target distribution, the black open circles are the positions θtraced out by the leapfrog integrator and associated with elements of the set ofvisited states B, the black solid circle is the starting position, the red solid circlesare positions associated with states that must be excluded from the set C ofpossible next samples because their joint probability is below the slice variable u,and the positions with a red “x” through them correspond to states that must beexcluded from C to satisfy detailed balance. The blue arrow is the vector from thepositions associated with the leftmost to the rightmost leaf nodes in the rightmostheight-3 subtree, and the magenta arrow is the (normalized) momentum vectorat the final state in the trajectory. The doubling process stops here, since theblue and magenta arrows make an angle of more than 90 degrees. The crossed-out nodes with a red “x” are in the right half-tree, and must be ignored whenchoosing the next sample.

being more complicated, the analogous algorithm that eliminates the slice variable seemsempirically to be slightly less efficient than the algorithm presented in this paper.

I Blue ellipse is contour of target distributionI Initial position at black solid circleI Arrows indicate a U-turn in momentum

−0.1 0 0.1 0.2 0.3 0.4 0.5−0.1

I Blue ellipse is contour of target distribution

I Initial position at black solid circleI Arrows indicate a U-turn in momentum

−0.1 0 0.1 0.2 0.3 0.4 0.5−0.1

I Blue ellipse is contour of target distributionI Initial position at black solid circle

I Arrows indicate a U-turn in momentum

−0.1 0 0.1 0.2 0.3 0.4 0.5−0.1

I Blue ellipse is contour of target distributionI Initial position at black solid circleI Arrows indicate a U-turn in momentum

NUTS vs. Gibbs and MetropolisThe No-U-Turn Sampler

Figure 7: Samples generated by random-walk Metropolis, Gibbs sampling, and NUTS. The plots

compare 1,000 independent draws from a highly correlated 250-dimensional distribu-

tion (right) with 1,000,000 samples (thinned to 1,000 samples for display) generated by

random-walk Metropolis (left), 1,000,000 samples (thinned to 1,000 samples for display)

generated by Gibbs sampling (second from left), and 1,000 samples generated by NUTS

(second from right). Only the first two dimensions are shown here.

4.4 Comparing the Efficiency of HMC and NUTS

Figure 6 compares the efficiency of HMC (with various simulation lengths λ ≈ �L) andNUTS (which chooses simulation lengths automatically). The x-axis in each plot is thetarget δ used by the dual averaging algorithm from section 3.2 to automatically tune the stepsize �. The y-axis is the effective sample size (ESS) generated by each sampler, normalized bythe number of gradient evaluations used in generating the samples. HMC’s best performanceseems to occur around δ = 0.65, suggesting that this is indeed a reasonable default valuefor a variety of problems. NUTS’s best performance seems to occur around δ = 0.6, butdoes not seem to depend strongly on δ within the range δ ∈ [0.45, 0.65]. δ = 0.6 thereforeseems like a reasonable default value for NUTS.

On the two logistic regression problems NUTS is able to produce effectively indepen-dent samples about as efficiently as HMC can. On the multivariate normal and stochasticvolatility problems, NUTS with δ = 0.6 outperforms HMC’s best ESS by about a factor ofthree.

As expected, HMC’s performance degrades if an inappropriate simulation length is cho-sen. Across the four target distributions we tested, the best simulation lengths λ for HMCvaried by about a factor of 100, with the longest optimal λ being 17.62 (for the multivari-ate normal) and the shortest optimal λ being 0.17 (for the simple logistic regression). Inpractice, finding a good simulation length for HMC will usually require some number ofpreliminary runs. The results in Figure 6 suggest that NUTS can generate samples at leastas efficiently as HMC, even discounting the cost of any preliminary runs needed to tuneHMC’s simulation length.

I Two dimensions of highly correlated 250-dim distributionI 1M samples from Metropolis, 1M from Gibbs (thin to 1K)I 1K samples from NUTS, 1K independent draws

I Two dimensions of highly correlated 250-dim distribution

I 1M samples from Metropolis, 1M from Gibbs (thin to 1K)I 1K samples from NUTS, 1K independent draws

I Two dimensions of highly correlated 250-dim distributionI 1M samples from Metropolis, 1M from Gibbs (thin to 1K)

I 1K samples from NUTS, 1K independent draws

I Two dimensions of highly correlated 250-dim distributionI 1M samples from Metropolis, 1M from Gibbs (thin to 1K)I 1K samples from NUTS, 1K independent draws

NUTS vs. Basic HMC

I 250-D normal and logistic regression modelsI Vertical axis shows effective #sims (big is good)I (Left) NUTS; (Right) HMC with increasing t = εL

NUTS vs. Basic HMC II

I Hierarchical logistic regression and stochastic volatilityI Simulation time is step size ε times #steps LI NUTS can beat optimally tuned HMC

Solving more problems in Stan

I Problem: Need ease of use of BUGSI Solution: Compile directed graphical model language

I Problem: Need to tune parameters for HMCI Solution: Auto tuning, adaptation

I Problem: Efficient up-to-proportion density calcsI Solution: Density template metaprogramming

I Problem: Limited error checking, recoveryI Solution: Static model typing, informative exceptions

I Problem: Poor boundary behaviorI Solution: Calculate limits (e.g. limx→0 x log x)

I Problem: Restrictive licensing (e.g., closed, GPL, etc.)I Solution: Open-source, BSD license

I Problem: Need ease of use of BUGS

I Solution: Compile directed graphical model language

I Problem: Need to tune parameters for HMC

I Solution: Auto tuning, adaptation

I Problem: Efficient up-to-proportion density calcs

I Solution: Density template metaprogramming

I Problem: Limited error checking, recovery

I Solution: Static model typing, informative exceptions

I Problem: Poor boundary behavior

I Solution: Calculate limits (e.g. limx→0 x log x)

I Problem: Restrictive licensing (e.g., closed, GPL, etc.)

I Solution: Open-source, BSD license

New stuff: Differential equation models

Simple harmonic oscillator:

dt= −z2

dt= −z1 − θz2

with observations (y1, y2)t , t = 1, . . . ,T :

y1t ∼ N(z1(t), σ21)

y2t ∼ N(z2(t), σ22)

Given data (y1, y2)t , t = 1, . . . ,T ,estimate initial state (y1, y2)t=0 and parameter θ

Stan program: 1

functions {real[] sho(real t, real[] y, real[] theta, real[] x_r, int[] x_i) {

real dydt[2];dydt[1] <- y[2];dydt[2] <- -y[1] - theta[1] * y[2];return dydt;

}}data {

int<lower=1> T;real y[T,2];real t0;real ts[T];

}transformed data {

real x_r[0];int x_i[0];

Stan program: 2

parameters {real y0[2];vector<lower=0>[2] sigma;real theta[1];

}model {

real z[T,2];sigma ~ cauchy(0,2.5);theta ~ normal(0,1);y0 ~ normal(0,1);z <- integrate_ode(sho, y0, t0, ts, theta, x_r, x_i);for (t in 1:T)

y[t] ~ normal(z[t], sigma);}

Stan output

Run RStan with data simulated fromθ = 0.15, y0 = (1, 0), and σ = 0.1:

Inference for Stan model: sho.4 chains, each with iter=2000; warmup=1000; thin=1;post-warmup draws per chain=1000, total post-warmup draws=4000.

mean se_mean sd 2.5% 25% 50% 75% 97.5% n_eff Rhaty0[1] 1.05 0.00 0.09 0.87 0.98 1.05 1.10 1.23 1172 1y0[2] -0.06 0.00 0.06 -0.18 -0.10 -0.06 -0.02 0.06 1524 1sigma[1] 0.14 0.00 0.04 0.08 0.11 0.13 0.16 0.25 1354 1sigma[2] 0.11 0.00 0.03 0.06 0.08 0.10 0.12 0.18 1697 1theta[1] 0.15 0.00 0.04 0.08 0.13 0.15 0.17 0.22 1112 1lp__ 28.97 0.06 1.80 24.55 27.95 29.37 30.29 31.35 992 1

Big Data, Big Model, Scalable Computing

Total Ratings

10 Items

100 Items

1000 Items

Thinking about scalability

I Hierarchical item response model:

Stan JAGS# items # raters # groups # data time memory time memory

20 2,000 100 40,000 :02m 16MB :03m 220MB40 8,000 200 320,000 :16m 92MB :40m 1400MB80 32,000 400 2,560,000 4h:10m 580MB :??m ?MB

I Also, Stan generated 4x effective sample size per iteration

Future work

I Programming

I Faster gradients and higher-order derivativesI Functions

I Statistical algorithms

I Riemannian Hamiltonian Monte CarloI (Penalized) mleI (Penalized) marginal mleI Black-box variational BayesI Data partitioning and expectation propagation

Future work

I Programming

I Faster gradients and higher-order derivativesI Functions

Future work

I ProgrammingI Faster gradients and higher-order derivatives

I FunctionsI Statistical algorithms

Future work

I ProgrammingI Faster gradients and higher-order derivativesI Functions

Future work

I Statistical algorithmsI Riemannian Hamiltonian Monte Carlo

I (Penalized) mleI (Penalized) marginal mleI Black-box variational BayesI Data partitioning and expectation propagation

Future work

I Statistical algorithmsI Riemannian Hamiltonian Monte CarloI (Penalized) mle

I (Penalized) marginal mleI Black-box variational BayesI Data partitioning and expectation propagation

Future work

I Statistical algorithmsI Riemannian Hamiltonian Monte CarloI (Penalized) mleI (Penalized) marginal mle

I Black-box variational BayesI Data partitioning and expectation propagation

Future work

I Statistical algorithmsI Riemannian Hamiltonian Monte CarloI (Penalized) mleI (Penalized) marginal mleI Black-box variational Bayes

I Data partitioning and expectation propagation

Future work

I Statistical algorithmsI Riemannian Hamiltonian Monte CarloI (Penalized) mleI (Penalized) marginal mleI Black-box variational BayesI Data partitioning and expectation propagation

Stan: A platform for Bayesian inferencegelman/presentations/stantalk... · 2014. 11. 14. · 33/44...

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