ReactiveMP.jl

Julia package for automatic Bayesian inference on a factor graph with reactive message passing.

Given a probabilistic model, ReactiveMP allows for an efficient message-passing based Bayesian inference. It uses the model structure to generate an algorithm that consists of a sequence of local computations on a Forney-style factor graph (FFG) representation of the model.

ReactiveMP.jl has been designed with a focus on efficiency, scalability and maximum performance for running inference with message passing. It is worth noting that this package is aimed to run Bayesian inference for conjugate state-space models. For these types of models, ReactiveMP.jl takes advantage of the conjugate pairings and beats general-purpose probabilistic programming packages easily in terms of computational load, speed, memory and accuracy. On the other hand, sampling-based packages like Turing.jl are generic Bayesian inference solutions and are capable of running inference for a broader set of models.

Package Features

  • User friendly syntax for specification of probabilistic models.
  • Automatic generation of message passing algorithms including
  • Support for hybrid models combining discrete and continuous latent variables.
  • Support for hybrid distinct message passing inference algorithm under a unified paradigm.
  • Evaluation of Bethe free energy as a model performance measure.
  • Schedule-free reactive message passing API.
  • High performance.
  • Scalability for large models with millions of parameters and observations.
  • Inference procedure is differentiable.
  • Easy to extend with custom nodes.

Resources

How to get started?

Head to the Getting started section to get up and running with ForneyLab. Alternatively, explore various examples in the documentation.

Table of Contents

Index