BeschreibungThe development of MCMC algorithms involves an implementation in a mathematical language, in addition to one in a programming language. Often a third version is written in a faster, lower-level language (e.g., R with C++). This development cycle comes with obvious drawbacks. It requires a separate manual code ‚Äútranslation‚Äù for each programming language, which may lead to errors and does not scale.
Our contribution is a system for MCMC algorithms based on domain-specific languages (DSLs). DSLs are special-purpose languages, designed for one narrow task (e.g.: SQL). Our DSL allows the implementation of algorithms using mathematical notation, which is then translated to the users‚Äô preferred language (e.g.: R, Julia, MATLAB).
Our DSL constitutes a concise, easily comprehensible, and extensible yet powerful system to streamline MCMC development. While researchers retain complete control over the algorithm, highly optimized backends (e.g. GPU) can be provided by domain specialists.
In this presentation, we will showcase the DSL implementation of multiple MCMC algorithms based on global-local shrinkage priors (Gibbs, Metropolis within Gibbs, etc.). We demonstrate that the same model can be compiled to R, Julia, and MATLAB code.
|Zeitraum||28 Juni 2021 → 2 Juli 2021|
|Ereignistitel||ISBA World Meeting|