pyro-ppl/pyro

[FR] Online (streaming) VI support

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#2,882 opened on Jun 21, 2021

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enhancementhelp wanted

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Description

It would be nice to have native support for online VI (its main 3 flavors are listed here: https://arxiv.org/abs/1904.03920 ).

Currently, the only tool applicable to the online learning scenario would be the SMCFilter, but it often performs poorly in high-dimensional situations.

SMCFilter itself could also benefit from particle MCMC rejuvenation as discussed here: https://www.springer.com/gp/book/9783030478445 and implemented in the particles package: https://github.com/nchopin/particles

Contributor guide

Research direction
Review the referenced papers on online VI (e.g., https://arxiv.org/abs/1904.03920) and explore how to integrate a streaming inference algorithm into Pyro's SVI framework. Consider adapting the SMCFilter or implementing particle MCMC rejuvenation as in the particles package (https://github.com/nchopin/particles). Look for existing implementations in Pyro or related projects.
Tech stack
python
Domain
machine learning
Issue type
Feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
4
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
3-5 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Active
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
PythonPyTorch
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
20