SVI¶

class
SVI
(model, guide, optim, loss, loss_and_grads=None, **kwargs)[source]¶ Bases:
object
Parameters:  model – the model (callable containing Pyro primitives)
 guide – the guide (callable containing Pyro primitives)
 optim (pyro.optim.PyroOptim) – a wrapper a for a PyTorch optimizer
 loss (pyro.infer.elbo.ELBO) – an instance of a subclass of
ELBO
. Pyro provides three builtin losses:Trace_ELBO
,Trace_ELBO
, andTrace_ELBO
. See theELBO
docs to learn how to implement a custom loss.
A unified interface for stochastic variational inference in Pyro. The most commonly used loss is
loss=Trace_ELBO()
. See the tutorial SVI Part I for a discussion.
ELBO¶

class
ELBO
(num_particles=1, max_iarange_nesting=inf, strict_enumeration_warning=True)[source]¶ Bases:
object
ELBO
is the toplevel interface for stochastic variational inference via optimization of the evidence lower bound. Most users will not interact withELBO
directly; instead they will interact with SVI. ELBO dispatches to Trace_ELBO and TraceGraph_ELBO, where the internal implementations live.Parameters:  num_particles – The number of particles/samples used to form the ELBO (gradient) estimators.
 max_iarange_nesting (int) – Optional bound on max number of nested
pyro.iarange()
contexts. This is only required to enumerate over sample sites in parallel, e.g. if a site setsinfer={"enumerate": "parallel"}
.  strict_enumeration_warning (bool) – Whether to warn about possible
misuse of enumeration, i.e. that
pyro.infer.traceenum_elbo.TraceEnum_ELBO
is used iff there are enumerated sample sites.
References
[1] Automated Variational Inference in Probabilistic Programming David Wingate, Theo Weber
[2] Black Box Variational Inference, Rajesh Ranganath, Sean Gerrish, David M. Blei

class
Trace_ELBO
(num_particles=1, max_iarange_nesting=inf, strict_enumeration_warning=True)[source]¶ Bases:
pyro.infer.elbo.ELBO
A trace implementation of ELBObased SVI. The estimator is constructed along the lines of references [1] and [2]. There are no restrictions on the dependency structure of the model or the guide. The gradient estimator includes partial RaoBlackwellization for reducing the variance of the estimator when nonreparameterizable random variables are present. The RaoBlackwellization is partial in that it only uses conditional independence information that is marked by
iarange
contexts. For more finegrained RaoBlackwellization, seeTraceGraph_ELBO
.References
 [1] Automated Variational Inference in Probabilistic Programming,
 David Wingate, Theo Weber
 [2] Black Box Variational Inference,
 Rajesh Ranganath, Sean Gerrish, David M. Blei

class
TraceGraph_ELBO
(num_particles=1, max_iarange_nesting=inf, strict_enumeration_warning=True)[source]¶ Bases:
pyro.infer.elbo.ELBO
A TraceGraph implementation of ELBObased SVI. The gradient estimator is constructed along the lines of reference [1] specialized to the case of the ELBO. It supports arbitrary dependency structure for the model and guide as well as baselines for nonreparameterizable random variables. Where possible, conditional dependency information as recorded in the
Trace
is used to reduce the variance of the gradient estimator. In particular three kinds of conditional dependency information are used to reduce variance:  the sequential order of samples (z is sampled after y => y does not depend on z) iarange
generators irange
generatorsReferences
 [1] Gradient Estimation Using Stochastic Computation Graphs,
 John Schulman, Nicolas Heess, Theophane Weber, Pieter Abbeel
 [2] Neural Variational Inference and Learning in Belief Networks
 Andriy Mnih, Karol Gregor

loss
(model, guide, *args, **kwargs)[source]¶ Returns: returns an estimate of the ELBO Return type: float Evaluates the ELBO with an estimator that uses num_particles many samples/particles.

loss_and_grads
(model, guide, *args, **kwargs)[source]¶ Returns: returns an estimate of the ELBO Return type: float Computes the ELBO as well as the surrogate ELBO that is used to form the gradient estimator. Performs backward on the latter. Num_particle many samples are used to form the estimators. If baselines are present, a baseline loss is also constructed and differentiated.

class
TraceEnum_ELBO
(num_particles=1, max_iarange_nesting=inf, strict_enumeration_warning=True)[source]¶ Bases:
pyro.infer.elbo.ELBO
A trace implementation of ELBObased SVI that supports enumeration over discrete sample sites.
To enumerate over a sample site, the
guide
’s sample site must specify eitherinfer={'enumerate': 'sequential'}
orinfer={'enumerate': 'parallel'}
. To configure all sites at once, useconfig_enumerate`()
.This assumes restricted dependency structure on the model and guide: variables outside of an
iarange
can never depend on variables inside thatiarange
.
Importance¶

class
Importance
(model, guide=None, num_samples=None)[source]¶ Bases:
pyro.infer.abstract_infer.TracePosterior
Parameters:  model – probabilistic model defined as a function
 guide – guide used for sampling defined as a function
 num_samples – number of samples to draw from the guide (default 10)
This method performs posterior inference by importance sampling using the guide as the proposal distribution. If no guide is provided, it defaults to proposing from the model’s prior.
Inference Utilities¶

class
EmpiricalMarginal
(trace_posterior, sites=None, validate_args=None)[source]¶ Bases:
pyro.distributions.empirical.Empirical
Marginal distribution, that wraps over a TracePosterior object to provide a a marginal over one or more latent sites or the return values of the TracePosterior’s model. If multiple sites are specified, they must have the same tensor shape.
Parameters:  trace_posterior (TracePosterior) – a TracePosterior instance representing a Monte Carlo posterior.
 sites (list) – optional list of sites for which we need to generate
the marginal distribution. Note that for multiple sites, the shape
for the site values must match (needed by the underlying
Empirical
class).

class
TracePosterior
[source]¶ Bases:
object
Abstract TracePosterior object from which posterior inference algorithms inherit. When run, collects a bag of execution traces from the approximate posterior. This is designed to be used by other utility classes like EmpiricalMarginal, that need access to the collected execution traces.

class
TracePredictive
(model, posterior, num_samples)[source]¶ Bases:
pyro.infer.abstract_infer.TracePosterior
Generates and holds traces from the posterior predictive distribution, given model execution traces from the approximate posterior. This is achieved by constraining latent sites to randomly sampled parameter values from the model execution traces and running the model forward to generate traces with new response (“_RETURN”) sites.
Parameters:  model – arbitrary Python callable containing Pyro primitives.
 posterior (TracePosterior) – trace posterior instance holding samples from the model’s approximate posterior.
 num_samples (int) – number of samples to generate.