Bayesian Optimization for Probabilistic Programs

We outline a general purpose framework for black-box marginal maximum a pos- teriori estimation of probabilistic program variables using Bayesian optimization with Gaussian processes. We introduce the concept of an optimization query, whereby a probabilistic program returns an infinite lazy sequence...

Descrición completa

Detalles Bibliográficos
Main Authors: Rainforth, T, Le, T, van de Meent, J, Osborne, M, Wood, F
Formato: Conference item
Publicado: Neural Information Processing Systems Foundation 2016
Descripción
Summary:We outline a general purpose framework for black-box marginal maximum a pos- teriori estimation of probabilistic program variables using Bayesian optimization with Gaussian processes. We introduce the concept of an optimization query, whereby a probabilistic program returns an infinite lazy sequence of increasingly optimal estimates, and explain how a general purpose program transformation would allow the evidence of any probabilistic program, and therefore any graphical model, to be optimized with respect to an arbitrary subset of its variables.