pymc-learn: Practical Probabilistic Machine Learning in Python
Contents:
What is pymc-learn?
pymc-learn is a library for practical probabilistic machine learning in Python.
It provides probabilistic models in a syntax that mimics
scikit-learn.
Users can now have calibrated quantities of uncertainty in their models
using powerful inference algorithms -- such as MCMC or Variational inference --
provided by PyMC3.
See :doc:`why` for a more detailed description of why pymc-learn
was
created.
Note
pymc-learn
leverages and extends the Base template provided by the
PyMC3 Models project: https://github.com/parsing-science/pymc3_models
Familiar user interface
pymc-learn
mimics scikit-learn. You don't have to completely rewrite
your scikit-learn ML code.
from sklearn.linear_model \ from pmlearn.linear_model \
import LinearRegression import LinearRegression
lr = LinearRegression() lr = LinearRegression()
lr.fit(X, y) lr.fit(X, y)
The difference between the two models is that pymc-learn
estimates model
parameters using Bayesian inference algorithms such as MCMC or variational
inference. This produces calibrated quantities of uncertainty for model
parameters and predictions.
Quick Install
You can install pymc-learn
from source as follows:
pip install git+https://github.com/pymc-learn/pymc-learn
Dependencies
pymc-learn
is tested on Python 2.7, 3.5 & 3.6 and depends on Theano,
PyMC3, NumPy, SciPy, and Matplotlib (see requirements.txt
for version
information).
Quick Start
# For regression using Bayesian Nonparametrics
>>> from sklearn.datasets import make_friedman2
>>> from pmlearn.gaussian_process import GaussianProcessRegressor
>>> from pmlearn.gaussian_process.kernels import DotProduct, WhiteKernel
>>> X, y = make_friedman2(n_samples=500, noise=0, random_state=0)
>>> kernel = DotProduct() + WhiteKernel()
>>> gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
>>> gpr.score(X, y) # doctest: +ELLIPSIS
0.3680...
>>> gpr.predict(X[:2,:], return_std=True) # doctest: +ELLIPSIS
(array([653.0..., 592.1...]), array([316.6..., 316.6...]))
Scales to Big Data & Complex Models
Recent research has led to the development of variational inference algorithms that are fast and almost as flexible as MCMC. For instance Automatic Differentation Variational Inference (ADVI) is illustrated in the code below.
from pmlearn.neural_network import MLPClassifier
model = MLPClassifier()
model.fit(X_train, y_train, inference_type="advi")
Instead of drawing samples from the posterior, these algorithms fit a distribution (e.g. normal) to the posterior turning a sampling problem into an optimization problem. ADVI is provided PyMC3.
Citing pymc-learn
To cite pymc-learn
in publications, please use the following:
Pymc-learn Developers Team (2019). pymc-learn: Practical probabilistic machine learning in Python. arXiv preprint arXiv:xxxx.xxxxx. Forthcoming.
Or using BibTex as follows:
@article{Pymc-learn,
title={pymc-learn: Practical probabilistic machine learning in {P}ython},
author={Pymc-learn Developers Team},
journal={arXiv preprint arXiv:xxxx.xxxxx},
year={2019}
}
If you want to cite pymc-learn
for its API, you may also want to consider
this reference:
Carlson, Nicole (2018). Custom PyMC3 models built on top of the scikit-learn API. https://github.com/parsing-science/pymc3_models
Or using BibTex as follows:
@article{Pymc3_models,
title={pymc3_models: Custom PyMC3 models built on top of the scikit-learn API,
author={Carlson, Nicole},
journal={},
url={https://github.com/parsing-science/pymc3_models}
year={2018}
}
License
Index
Getting Started
.. toctree:: :maxdepth: 1 :hidden: :caption: Getting Started install.rst support.rst why.rst
User Guide
The main documentation. This contains an in-depth description of all models
and how to apply them. pymc-learn
leverages the Base template provided by the PyMC3 Models
project: https://github.com/parsing-science/pymc3_models.
.. toctree:: :maxdepth: 1 :hidden: :caption: User Guide user_guide.rst
Examples
Pymc-learn provides probabilistic models for machine learning, in a familiar scikit-learn syntax.
.. toctree:: :maxdepth: 1 :hidden: :caption: Examples regression.rst classification.rst mixture.rst neural_networks.rst
API Reference
pymc-learn
leverages the Base template provided by the PyMC3 Models
project: https://github.com/parsing-science/pymc3_models.
.. toctree:: :maxdepth: 1 :hidden: :caption: API Reference api.rst
Help & reference
.. toctree:: :maxdepth: 1 :hidden: :caption: Help & reference develop.rst support.rst changelog.rst cite.rst