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Support SPPL functions with exogenous parameters for modeling GLMs #105

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fsaad opened this issue Jan 25, 2021 · 0 comments
Open

Support SPPL functions with exogenous parameters for modeling GLMs #105

fsaad opened this issue Jan 25, 2021 · 0 comments

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@fsaad
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fsaad commented Jan 25, 2021

The minimal example is a 2-mixture of linear regression, with known coefficients and a single real-covariate

func(x):
    U ~ bernoulli(.3)
    if U == 0:
        X ~ normal(2 * x + 3, .1)
    else:
        X ~ normal(-7* x + 2, 2)

Families of models with such "regression structure" include generalized linear models (GLMs). One can, for example, first learn a mixture-of-experts GLM using an approximate inference system and then render the learned model as an SPPL program. With this representation we can leverage SPPL's exact inference engine, which can solve problems that the majority of PPLs with approximate inference cannot solve.

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