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Oral

posteriordb: Testing, Benchmarking and Developing Bayesian Inference Algorithms

Måns Magnusson · Jakob Torgander · Paul Bürkner · Lu Zhang · Bob Carpenter · Aki Vehtari

Abstract:

The general applicability and robustness of posterior inference algorithms is critical to widely used probabilistic programming languages such as Stan, PyMC, Pyro, and Turing.jl. When designing a new inference algorithm, whether it involves Monte Carlo sampling or variational approximation, the fundamental problem is evaluating its accuracy and efficiency across a range of representative target posteriors. To solve this problem, we propose posteriordb, a database of models and data sets defining target densities along with reference Monte Carlo draws. We further provide a guide to the best practices in using posteriordb for algorithm evaluation and comparison. To provide a wide range of realistic posteriors, posteriordb currently comprises 120 representative models with data, and has been instrumental in developing several inference algorithms.

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