FunMC: A functional API for building Markov Chains

01/14/2020

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by   Pavel Sountsov, et al.

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Constant-memory algorithms, also loosely called Markov chains, power the vast majority of probabilistic inference and machine learning applications today. A lot of progress has been made in constructing user-friendly APIs around these algorithms. Such APIs, however, rarely make it easy to research new algorithms of this type. In this work we present FunMC, a minimal Python library for doing methodological research into algorithms based on Markov chains. FunMC is not targeted toward data scientists or others who wish to use MCMC or optimization as a black box, but rather towards researchers implementing new Markovian algorithms from scratch.