In [1]:

# import some dependencies
import numpy as np
import matplotlib.pyplot as plt

import torch

import pyro
import pyro.infer
import pyro.optim
import pyro.distributions as dist

torch.manual_seed(101);


# Inference in Pyro: From Stochastic Functions to Marginal Distributions¶

Stochastic functions induce a joint probability distribution $$p(y, z \; \vert \; x)$$ over their latent variables $$z$$ and return values $$y$$, and this joint distribution induces a marginal distribution over return values of the function. However, for non-primitive stochastic functions, we can no longer explicitly compute the marginal probability of an output $$p(y \; \vert \; x)$$ or draw samples from the marginal distribution over return values $$y \sim p (y \; \vert \; x)$$.

In its most general formulation, inference in a universal probabilistic programming language like Pyro is the problem of constructing this marginal distribution given an arbitrary boolean constraint so that we can perform these computations. The constraint can be a deterministic function of the return value, the internal randomness, or both.

Bayesian inference or posterior inference is an important special case of this more general formulation that admits tractable approximations. In Bayesian inference, the return value is always the values of some subset internal sample statements, and the constraint is an equality constraint on the other internal sample statements. Much of modern machine learning can be cast as approximate Bayesian inference and expressed succinctly in a language like Pyro.

To motivate the rest of this tutorial, let’s first build a generative model for a simple physical problem so that we can use Pyro’s inference machinery to solve it.

## A Simple Example¶

Suppose we are trying to figure out how much something weighs, but the scale we’re using is unreliable and gives slightly different answers every time we weigh the same object. We could try to compensate for this variability by integrating the noisy measurement information with a guess based on some prior knowledge about the object, like its density or material properties. The following model encodes this process:

In [2]:

def scale(guess):
# The prior over weight encodes our uncertainty about our guess
weight = pyro.sample("weight", dist.Normal(guess, 1.0))
# This encodes our belief about the noisiness of the scale:
# the measurement fluctuates around the true weight
return pyro.sample("measurement", dist.Normal(weight, 0.75))


## Representing Marginal Distributions¶

Before we actually try using our model to estimate an object’s weight, let’s try analyzing our model’s behavior. In particular, we can use importance sampling to simulate the marginal distribution of measurement values we’d expect to see a priori for a given guess.

Marginalization in Pyro with pyro.infer.EmpiricalMarginal is split into two steps. First, we collect a number of weighted execution traces of the model. Then, we can collapse those traces into a histogram over possible return values given a particular set of arguments.

Collecting execution traces can be done either through sampling or, for models with only discrete latent variables, exact enumeration. To create a basic importance sampler over execution traces (using the prior as the proposal distribution), we can write:

In [3]:

posterior = pyro.infer.Importance(scale, num_samples=100)


posterior is not a particularly useful object on its own. Instead, the output of posterior (computed with posterior.run, which runs inference for a single input value) is meant to be consumed by pyro.infer.EmpiricalMarginal, which creates a primitive stochastic function with the same output types as scale.

In [4]:

guess = 8.5

marginal = pyro.infer.EmpiricalMarginal(posterior.run(guess))
print(marginal())

tensor(8.0281)


When called with an input guess, marginal first uses posterior to generate a sequence of weighted execution traces given guess, then builds a histogram over return values from the traces, and finally returns a sample drawn from the histogram. Calling marginal with the same arguments more than once will sample from the same histogram.

In [5]:

plt.hist([marginal().item() for _ in range(100)], range=(5.0, 12.0))
plt.title("P(measurement | guess)")
plt.xlabel("weight")
plt.ylabel("#");


pyro.infer.EmpiricalMarginal also accepts the optional keyword argument sites=name that provides a name of a latent variable. When sites is specified, marginal will compute the marginal distribution of that site, rather than of the return value. This is useful because we may wish to compute many different marginals from the same posterior object.

## Conditioning Models on Data¶

The real utility of probabilistic programming is in the ability to condition generative models on observed data and infer the latent factors that might have produced that data. In Pyro, we separate the expression of conditioning from its evaluation via inference, making it possible to write a model once and condition it on many different observations. Pyro supports constraining a model’s internal sample statements to be equal to a given set of observations.

Consider scale once again. Suppose we want to sample from the marginal distribution of weight given input guess = 8.5, but now we have observed that measurement == 9.5. Pyro provides the function pyro.condition to allow us to constrain the values of sample statements. pyro.condition is a higher-order function that takes a model and a dictionary of data and returns a new model that has the same input and output signatures but always uses the given values at observed sample statements:

In [6]:

conditioned_scale = pyro.condition(
scale, data={"measurement": 9.5})


Because it behaves just like an ordinary Python function, conditioning can be deferred or parametrized with Python’s lambda or def:

In [7]:

def deferred_conditioned_scale(measurement, *args, **kwargs):
return pyro.condition(scale, data={"measurement": measurement})(*args, **kwargs)


In some cases it might be more convenient to pass observations directly to individual pyro.sample statements instead of using pyro.condition. The optional obs keyword argument is reserved by pyro.sample for that purpose:

In [8]:

# equivalent to pyro.condition(scale, data={"measurement": torch.tensor([9.5])})
def scale_obs(guess):
weight = pyro.sample("weight", dist.Normal(guess, 1.))
# here we attach an observation measurement == 9.5
return pyro.sample("measurement", dist.Normal(weight, 1.),
obs=9.5)


However, hardcoding is not usually recommended due to its invasive non-compositional nature. By contrast, using pyro.condition, conditioning may be composed freely to form multiple complex queries on probabilistic models without modifying the underlying model. The only restriction is that a single site may only be constrained once.

In [9]:

def scale2(guess):
weight = pyro.sample("weight", dist.Normal(guess, 1.))
tolerance = torch.abs(pyro.sample("tolerance", dist.Normal(0., 1.)))
return pyro.sample("measurement", dist.Normal(weight, tolerance))

# conditioning composes:
# the following are all equivalent and do not interfere with each other
conditioned_scale2_1 = pyro.condition(
pyro.condition(scale2, data={"weight": 9.2}),
data={"measurement": 9.5})

conditioned_scale2_2 = pyro.condition(
pyro.condition(scale2, data={"measurement": 9.5}),
data={"weight": 9.2})

conditioned_scale2_3 = pyro.condition(
scale2, data={"weight": 9.2, "measurement": 9.5})


In addition to pyro.condition for incorporating observations, Pyro also contains pyro.do, an implementation of Pearl’s do-operator used for causal inference with an identical interface to pyro.condition. condition and do can be mixed and composed freely, making Pyro a powerful tool for model-based causal inference.

## Flexible Approximate Inference With Guide Functions¶

Let’s return to deferred_conditioned_scale. Now that we have constrained measurement against some data, we can use Pyro’s approximate inference algorithms to estimate the distribution over weight given guess and measurement == data. We saw earlier how to use importance sampling to do this for scale; we can use exactly the same constructs with a conditioned model:

In [10]:

guess = 8.5
measurement = 9.5

conditioned_scale = pyro.condition(scale, data={"measurement": measurement})

marginal = pyro.infer.EmpiricalMarginal(
pyro.infer.Importance(conditioned_scale, num_samples=100).run(guess), sites="weight")

# The marginal distribution concentrates around the data
print(marginal())
plt.hist([marginal().item() for _ in range(100)], range=(5.0, 12.0))
plt.title("P(weight | measurement, guess)")
plt.xlabel("weight")
plt.ylabel("#");

tensor(8.1581)


However, this approach is extremely computationally inefficient because the prior distribution over weight may be very far from the true distribution over weights, especially if our initial guess is not very good.

Therefore, some inference algorithms in Pyro, like pyro.infer.Importance and pyro.infer.SVI, allow us to use arbitrary stochastic functions, which we will call guide functions or guides, as approximate posterior distributions. Guide functions must satisfy these two criteria to be valid approximations for a particular model: 1. all unobserved sample statements that appear in the model appear in the guide. 2. the guide has the same input signature as the model (i.e. takes the same arguments)

Guide functions can serve as programmable, data-dependent proposal distributions for importance sampling, rejection sampling, sequential Monte Carlo, MCMC, and independent Metropolis-Hastings, and as variational distributions or inference networks for stochastic variational inference. Currently, only importance sampling and stochastic variational inference are implemented in Pyro, but we plan to add other algorithms in the future.

Although the precise meaning of the guide is different across different inference algorithms, the guide function should generally be chosen so that it closely approximates the distribution over all unobserved sample statements in the model. The simplest guide for deferred_conditioned_scale matches the prior distribution over weight:

In [11]:

def scale_prior_guide(guess):
return pyro.sample("weight", dist.Normal(guess, 1.))

posterior = pyro.infer.Importance(conditioned_scale,
guide=scale_prior_guide,
num_samples=10)

marginal = pyro.infer.EmpiricalMarginal(posterior.run(guess), sites="weight")


Can we do better than the prior? In the case of scale, it turns out that the true posterior distribution over weight given guess and measurement can be written directly as:

In [12]:

def scale_posterior_guide(measurement, guess):
# note that torch.size(measurement, 0) is the total number of measurements
# that we're conditioning on
a = (guess + torch.sum(measurement)) / (measurement.size(0) + 1.0)
b = 1. / (measurement.size(0) + 1.0)
return pyro.sample("weight", dist.Normal(a, b))

posterior = pyro.infer.Importance(deferred_conditioned_scale,
guide=scale_posterior_guide,
num_samples=20)

marginal = pyro.infer.EmpiricalMarginal(posterior.run(torch.tensor([measurement]), guess), sites="weight")
plt.hist([marginal().item() for _ in range(100)], range=(5.0, 12.0))
plt.title("P(weight | measurement, guess)")
plt.xlabel("weight")
plt.ylabel("#");


## Parametrized Stochastic Functions and Variational Inference¶

Although we could write out the exact posterior distribution for scale, in general it is intractable to specify a guide that is a good approximation to the posterior distribution of an arbitrary conditioned stochastic function. What we can do instead is use the top-level function pyro.param to specify a family of guides indexed by named parameters, and search for the member of that family that is the best approximation. This approach to approximate posterior inference is called variational inference.

pyro.param is a frontend for Pyro’s key-value parameter store, which is described in more detail in the documentation. Like pyro.sample, pyro.param is always called with a name as its first argument. The first time pyro.param is called with a particular name, it stores its argument in the parameter store and then returns that value. After that, when it is called with that name, it returns the value from the parameter store regardless of any other arguments. It is similar to simple_param_store.setdefault here, but with some additional tracking and management functionality.

simple_param_store = {}
a = simple_param_store.setdefault("a", torch.randn(1))


For example, we can parametrize a and b in scale_posterior_guide instead of specifying them by hand:

In [13]:

def scale_parametrized_guide(guess):
a = pyro.param("a", torch.tensor(torch.randn(1) + guess))
b = pyro.param("b", torch.randn(1))
return pyro.sample("weight", dist.Normal(a, torch.abs(b)))


Pyro is built to enable stochastic variational inference, a powerful and widely applicable class of variational inference algorithms with three key characteristics:

1. Parameters are always real-valued tensors
2. We compute Monte Carlo estimates of a loss function from samples of execution histories of the model and guide
3. We use stochastic gradient descent to search for the optimal parameters.

Combining stochastic gradient descent with PyTorch’s GPU-accelerated tensor math and automatic differentiation allows us to scale variational inference to very high-dimensional parameter spaces and massive datasets.

Pyro’s SVI functionality is described in detail in the SVI tutorial. Here is a very simple example applying it to scale:

In [14]:

pyro.clear_param_store()
svi = pyro.infer.SVI(model=conditioned_scale,
guide=scale_parametrized_guide,
optim=pyro.optim.SGD({"lr": 0.001}),
loss=pyro.infer.Trace_ELBO())

losses = []
for t in range(1000):
losses.append(svi.step(guess))

plt.plot(losses)
plt.title("ELBO")
plt.xlabel("step")
plt.ylabel("loss");


Note that optimization will update the guide parameters, but does not produce a posterior distribution object itself. Once we find good parameter values, we can just use the guide as a representation of the model’s approximate posterior for downstream tasks.

For example, we can use the optimized guide as an importance distribution for estimating the marginal distribution over weight with many fewer samples than the prior:

In [15]:

posterior = pyro.infer.Importance(conditioned_scale, scale_parametrized_guide, num_samples=10)
marginal = pyro.infer.EmpiricalMarginal(posterior.run(guess), sites="weight")

plt.hist([marginal().item() for _ in range(100)], range=(5.0, 12.0))
plt.title("P(weight | measurement, guess)")
plt.xlabel("weight")
plt.ylabel("#");


We can also sample from the guide directly as an approximate posterior:

In [16]:

plt.hist([scale_parametrized_guide(guess).item() for _ in range(100)], range=(5.0, 12.0))
plt.title("P(weight | measurement, guess)")
plt.xlabel("weight")
plt.ylabel("#");


## Next Steps¶

In the Variational Autoencoder tutorial, we’ll see how models like scale can be augmented with deep neural networks and use stochastic variational inference to build a generative model of images.