A New Approach To Probabilistic Programming Inference

Abstract

We introduce and demonstrate a new approach to inference in expressive probabilistic programming languages based on particle Markov chain Monte Carlo. Our approach is easy to implement and to parallelize, applies to Turing-complete probabilistic programming languages, and supports accurate inference in models that make use of complex control flow, including stochastic recursion, as well as primitives from nonparametric Bayesian statistics. Our experiments show that this approach can be more efficient than previously introduced single-site Metropolis-Hastings samplers.