文章基本信息

标题：Stan: A Probabilistic Programming Language
本地全文：下载
作者：Bob Carpenter ; Andrew Gelman ; Matthew D. Hoffman 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2017
卷号：76
期号：1
页码：1-32
语种：English
出版社：University of California, Los Angeles
摘要：Stan is a probabilistic programming language for specifying statistical models. A Stan program imperatively defines a log probability function over parameters conditioned on specified data and constants. As of version 2.14.0, Stan provides full Bayesian inference for continuous-variable models through Markov chain Monte Carlo methods such as the No-U-Turn sampler, an adaptive form of Hamiltonian Monte Carlo sampling. Penalized maximum likelihood estimates are calculated using optimization methods such as the limited memory Broyden-Fletcher-Goldfarb-Shanno algorithm. Stan is also a platform for computing log densities and their gradients and Hessians, which can be used in alternative algorithms such as variational Bayes, expectation propagation, and marginal inference using approximate integration. To this end, Stan is set up so that the densities, gradients, and Hessians, along with intermediate quantities of the algorithm such as acceptance probabilities, are easily accessible. Stan can be called from the command line using the cmdstan package, through R using the rstan package, and through Python using the pystan package. All three interfaces support sampling and optimization-based inference with diagnostics and posterior analysis. rstan and pystan also provide access to log probabilities, gradients, Hessians, parameter transforms, and specialized plotting.
关键词：probabilistic programming;Bayesian inference;algorithmic differentiation;Stan