Arianna: A Domain-Specific Language for MCMC Algorithms
Type Research Project
Duration Jan. 6, 2020 - Dec. 30, 2022
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- Bayesian Computation
- Domain-Specific Language
The development of MCMC algorithms involves an implementation in a mathematical language, in addition to one in a programming language. Often further versions are written in faster, lower-level languages (e.g., C++). This development cycle comes with obvious drawbacks (e.g., multiple manual implementations).
We contribute “Arianna” (honoring Rosenbluth), a system for MCMC algorithms based on domain-specific languages (DSLs; special-purpose languages like SQL). Our DSL allows the implementation of algorithms using mathematical notation, which can be translated to different programming languages.
Our DSL constitutes a concise, easily comprehensible, and extensible yet powerful system to streamline MCMC development. We highlight different non-trivial MCMC algorithms including global-local shrinkage priors for factor models.