https://blog.tensorflow.org/2018/12/an-introduction-to-probabilistic.html?hl=es

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https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjXrUVdKLMfsqIkU05GOC0C0gLo2Xodi8f4UIvNUnkVBVHJiq9O2PDu7yM_DBv7sz-Squo-v8Rpk9ArhY6u6zGIcACpw6yotdmsjxt-wRPWFPrKtjKjLenyhq6QuEQHQOUdx7gU5uUe5E8/s1600/graphspace.png

diciembre 10, 2018 —
*Posted by Mike Shwe, Product Manager for TensorFlow Probability at Google; Josh Dillon, Software Engineer for TensorFlow Probability at Google; Bryan Seybold, Software Engineer at Google; Matthew McAteer; and Cam Davidson-Pilon.*

New to probabilistic programming? New to TensorFlow Probability (TFP)? Then we’ve got something for you. *Bayesian Methods for Hackers*, an introductory, hands-on tutorial,…

An introduction to probabilistic programming, now available in TensorFlow Probability

New to probabilistic programming? New to TensorFlow Probability (TFP)? Then we’ve got something for you.

There’s a number of neat things about

The TensorFlow team built TFP for data scientists, statisticians, and ML researchers and practitioners who want to encode domain knowledge to understand data and make predictions. TFP is a Python library built on TensorFlow that makes it easy to combine probabilistic models and deep learning on modern hardware. TFP allows you to:

**Explore**your data interactively**Evaluate**different models rapidly**Leverage modern, vectorized hardware accelerators**automatically**Launch**easily and with confidence. TFP is professionally built and tested, Google-Cloud ready, and supported by a vibrant open source community.

As we discuss in related blog posts, probabilistic programming has diverse applications, including finance and the oil and gas industry. Why?

In the remainder of this blog, we’ll provide an overview of a famous real-world problem that gets more detailed treatment in the Bayesian Hackers book in Chapter 2: the 1986 Space Shuttle Challenger disaster.

On January 28, 1986 on the 25th flight of the U.S. Space Shuttle, one of the two solid rocket boosters on the Shuttle Challenger exploded, due to an O-ring failure. Although mission engineers had numerous communications with the manufacturer of the O-ring about damage on previous flights, the manufacturer deemed the risk to be acceptable [1].

Below, we depict the observations of seven O-ring damage incidents on prior shuttle missions, as a function of ambient temperature. (At 70 degrees, there are two incidents.)

You’ll note that as the temperature decreases, there’s clearly an increase in proportion of damaged O-rings, yet there’s not an obvious temperature threshold below which the O-rings would likely fail. As with most real-world phenomena, there is uncertainty involved. We wish to determine at a given temperature

We can model the probability p of O-ring damage at temperature t using a logistic function, in particular:

`tfp.distributions.Normal`

, as in this code snippet:```
temperature_ = challenger_data_[:, 0]
temperature = tf.convert_to_tensor(temperature_, dtype=tf.float32)
D_ = challenger_data_[:, 1] # defect or not?
D = tf.convert_to_tensor(D_, dtype=tf.float32)
beta = tfd.Normal(name="beta", loc=0.3, scale=1000.).sample()
alpha = tfd.Normal(name="alpha", loc=-15., scale=1000.).sample()
p_deterministic = tfd.Deterministic(name="p", loc=1.0/(1. + tf.exp(beta * temperature_ + alpha))).sample()
[
prior_alpha_,
prior_beta_,
p_deterministic_,
D_,
] = evaluate([
alpha,
beta,
p_deterministic,
D,
])
```

(To run this code snippet, head on over to the Google Colab version of Chapter 2, so you can run the entire Space Shuttle example).Note that we get our actual value of 0 or 1 for

`evaluate()`

helper function allows us to transition between graph and eager modes seamlessly, while converting tensor values to numpy. We describe eager and graph modes, as well as this helper function in more detail in the beginning of Chapter 2.To connect the probability of failure at temperature

TFP performs probabilistic inference by evaluating the model using an unnormalized joint log probability function. The arguments to this

`joint_log_prob`

are data and model state. The function returns the log of the joint probability that the parameterized model generated the observed data. To learn more about the `joint_log_prob`

, please see this vignette.For the sake of the Challenger example, here’s how we define the

`joint_log_prob`

:```
def challenger_joint_log_prob(D, temperature_, alpha, beta):
"""
Joint log probability optimization function.
Args:
D: The Data from the challenger disaster representing presence or
absence of defect
temperature_: The Data from the challenger disaster, specifically the temperature on
the days of the observation of the presence or absence of a defect
alpha: one of the inputs of the HMC
beta: one of the inputs of the HMC
Returns:
Joint log probability optimization function.
"""
rv_alpha = tfd.Normal(loc=0., scale=1000.)
rv_beta = tfd.Normal(loc=0., scale=1000.)
logistic_p = 1.0/(1. + tf.exp(beta * tf.to_float(temperature_) + alpha))
rv_observed = tfd.Bernoulli(probs=logistic_p)
return (
rv_alpha.log_prob(alpha)
+ rv_beta.log_prob(beta)
+ tf.reduce_sum(rv_observed.log_prob(D))
)
```

Notice how lines 15–18 succinctly encode our generative model, one line per random variable. Also, note that`rv_alpha`

*rv_beta*

represent the random variables for our prior distributions for š¼ and Ī². By contrast, `rv_observed`

represents the conditional distribution for the likelihood of observations in temperature and O-ring outcome, given a logistic distribution parameterized by š¼ and Ī².Next, we take our

`joint_log_prob`

function, and send it to the `tfp.mcmc`

module. Markov chain Monte Carlo (MCMC) algorithms make educated guesses about the unknown input values, computing the likelihood of the set of arguments in the `joint_log_prob`

function. By repeating this process many times, MCMC builds a distribution of likely parameters. Constructing this distribution is the goal of probabilistic inference.Accordingly, we’ll set up a particular type of MCMC, called Hamiltonian Monte Carlo, over our

`challenge_joint_log_prob`

function:```
number_of_steps = 10000
burnin = 2000
# Set the chain's start state.
initial_chain_state = [
0. * tf.ones([], dtype=tf.float32, name="init_alpha"),
0. * tf.ones([], dtype=tf.float32, name="init_beta")
]
# Since HMC operates over unconstrained space, we need to transform the
# samples so they live in real-space.
# Alpha is 100x of beta approximately, so apply Affine scalar bijector
# to multiply the unconstrained alpha by 100 to get back to
# the Challenger problem space
unconstraining_bijectors = [
tfp.bijectors.AffineScalar(100.),
tfp.bijectors.Identity()
]
# Define a closure over our joint_log_prob.
unnormalized_posterior_log_prob = lambda *args: challenger_joint_log_prob(D, temperature_, *args)
# Initialize the step_size. (It will be automatically adapted.)
with tf.variable_scope(tf.get_variable_scope(), reuse=tf.AUTO_REUSE):
step_size = tf.get_variable(
name='step_size',
initializer=tf.constant(0.5, dtype=tf.float32),
trainable=False,
use_resource=True
)
# Defining the HMC
hmc=tfp.mcmc.TransformedTransitionKernel(
inner_kernel=tfp.mcmc.HamiltonianMonteCarlo(
target_log_prob_fn=unnormalized_posterior_log_prob,
num_leapfrog_steps=40, #to improve convergence
step_size=step_size,
step_size_update_fn=tfp.mcmc.make_simple_step_size_update_policy(
num_adaptation_steps=int(burnin * 0.8)),
state_gradients_are_stopped=True),
bijector=unconstraining_bijectors)
# Sampling from the chain.
[
posterior_alpha,
posterior_beta
], kernel_results = tfp.mcmc.sample_chain(
num_results = number_of_steps,
num_burnin_steps = burnin,
current_state=initial_chain_state,
kernel=hmc)
# Initialize any created variables for preconditions
init_g = tf.global_variables_initializer()
```

Finally, we’ll actually perform the inference, through our `evaluate()`

helper function:```
evaluate(init_g)
[
posterior_alpha_,
posterior_beta_,
kernel_results_
] = evaluate([
posterior_alpha,
posterior_beta,
kernel_results
])
print("acceptance rate: {}".format(
kernel_results_.inner_results.is_accepted.mean()))
print("final step size: {}".format(
kernel_results_.inner_results.extra.step_size_assign[-100:].mean()))
```

Plotting the distributions for š¼ and Ī², we note that the distributions are fairly wide, as one would expect with so few data points and overlap in temperature between failure and non-failure observations. Yet, even with the wide distributions, we can be fairly confident that temperature does indeed have an effect on the probability of O-ring damage, since all of the samples of Ī² are greater than 0. We can likewise be confident that Ī± is significantly less than 0, since all samples are well into the negative.As we mentioned above, what we really want to know is:

```
alpha_samples_1d_ = posterior_alpha_[:, None] # best to make them 1d
beta_samples_1d_ = posterior_beta_[:, None]
beta_mean = tf.reduce_mean(beta_samples_1d_.T[0])
alpha_mean = tf.reduce_mean(alpha_samples_1d_.T[0])
[ beta_mean_, alpha_mean_ ] = evaluate([ beta_mean, alpha_mean ])
print("beta mean:", beta_mean_)
print("alpha mean:", alpha_mean_)
def logistic(x, beta, alpha=0):
"""
Logistic function with alpha and beta.
Args:
x: independent variable
beta: beta term
alpha: alpha term
Returns:
Logistic function
"""
return 1.0 / (1.0 + tf.exp((beta * x) + alpha))
t_ = np.linspace(temperature_.min() - 5, temperature_.max() + 5, 2500)[:, None]
p_t = logistic(t_.T, beta_samples_1d_, alpha_samples_1d_)
mean_prob_t = logistic(t_.T, beta_mean_, alpha_mean_)
[
p_t_, mean_prob_t_
] = evaluate([
p_t, mean_prob_t
])
```

We can then compute a 95% credible interval across the range of temperatures. Note that this is a On the day of the Challenger disaster, at 31 degrees, it turns out that the posterior distribution for an O-ring failure would lead us to conclude with a high degree of confidence that a problem would occur.

This rather straightforward probabilistic analysis demonstrates the power of TFP and Bayesian methods: that they can be used to provide valuable insight and prediction into real-world problems of significant consequence.

You’ll also find an analysis to find dark matter in the universe. Also, predicting returns of shares in public companies, i.e., stock returns.

We hope that you’ll dig into the conceptual walkthroughs in the book, applying the techniques to problems in your field. Please help us to keep this book in top shape by making comments and pull requests in the github!

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TensorFlow Probability
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An introduction to probabilistic programming, now available in TensorFlow Probability

diciembre 10, 2018
—
*Posted by Mike Shwe, Product Manager for TensorFlow Probability at Google; Josh Dillon, Software Engineer for TensorFlow Probability at Google; Bryan Seybold, Software Engineer at Google; Matthew McAteer; and Cam Davidson-Pilon.*

New to probabilistic programming? New to TensorFlow Probability (TFP)? Then we’ve got something for you. *Bayesian Methods for Hackers*, an introductory, hands-on tutorial,…

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