Evaluation of Probabilistic Programming Frameworks

Sammanfattning

In recent years significant progress has been made in the area of Probabilistic Programming, contributing to a considerably easier workflow for quantitative research in many fields. However, as new Probabilistic Programming Frameworks (PPFs) are continuously being created and developed, there is a need for finding ways of evaluating and benchmarking these frameworks. To this end, this thesis explored the use of a range of evaluation measures to evaluate and better understand the performance of three PPFs: Stan, NumPyro and TensorFlow Probability (TFP). Their respective Hamiltonian Monte Carlo (HMC) samplers were benchmarked on three different hierarchical models using both centered and non-centered parametrizations. The results showed that even if the same inference algorithms were used, the PPFs’ samplers still exhibited different behaviours, which consequently lead to non-negligible differences in their statistical efficiency. Furthermore, the sampling behaviour of the PPFs indicated that the observed differences can possibly be attributed to how the warm-up phase used in HMC-sampling is constructed. Finally, this study concludes that the computational speed of the numerical library used, was the primary deciding factor of performance in this benchmark. This was demonstrated by NumPyros superior computational speed, contributing to it yielding up to 10x higher ESSmin/s than Stan and 4x higher ESSmin/s than TFP.