#74 Optimizing NUTS and Developing the ZeroSumNormal Distribution, with Adrian Seyboldt

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We need to talk. I had trouble writing this introduction. Not because I didn’t know what to say (that’s hardly ever an issue for me), but because a conversation with Adrian Seyboldt always takes deliciously unexpected turns.

Adrian is one of the most brilliant, interesting and open-minded person I know. It turns out he’s courageous too: although he’s not a fan of public speaking, he accepted my invitation on this show — and I’m really glad he did!

Adrian studied math and bioinformatics in Germany and now lives in the US, where he enjoys doing maths, baking bread and hiking.

We talked about the why and how of his new project, Nutpie, a more efficient implementation of the NUTS sampler in Rust. We also dived deep into the new ZeroSumNormal distribution he created and that’s available from PyMC 4.2 onwards — what is it? Why would you use it? And when?

Adrian will also tell us about his favorite type of models, as well as what he currently sees as the biggest hurdles in the Bayesian workflow.

Each time I talk with Adrian, I learn a lot and am filled with enthusiasm — and now I hope you will too!

Our theme music is « Good Bayesian », by Baba Brinkman (feat MC Lars and Mega Ran). Check out his awesome work at https://bababrinkman.com/ !

Thank you to my Patrons for making this episode possible!

Yusuke Saito, Avi Bryant, Ero Carrera, Giuliano Cruz, Tim Gasser, James Wade, Tradd Salvo, Adam Bartonicek, William Benton, James Ahloy, Robin Taylor, Thomas Wiecki, Chad Scherrer, Nathaniel Neitzke, Zwelithini Tunyiswa, Elea McDonnell Feit, Bert≈rand Wilden, James Thompson, Stephen Oates, Gian Luca Di Tanna, Jack Wells, Matthew Maldonado, Ian Costley, Ally Salim, Larry Gill, Joshua Duncan, Ian Moran, Paul Oreto, Colin Caprani, Colin Carroll, Nathaniel Burbank, Michael Osthege, Rémi Louf, Clive Edelsten, Henri Wallen, Hugo Botha, Vinh Nguyen, Raul Maldonado, Marcin Elantkowski, Adam C. Smith, Will Kurt, Andrew Moskowitz, Hector Munoz, Marco Gorelli, Simon Kessell, Bradley Rode, Patrick Kelley, Rick Anderson, Casper de Bruin, Philippe Labonde, Michael Hankin, Cameron Smith, Tomáš Frýda, Ryan Wesslen, Andreas Netti, Riley King, Yoshiyuki Hamajima, Sven De Maeyer, Michael DeCrescenzo, Fergal M, Mason Yahr, Naoya Kanai, Steven Rowland, Aubrey Clayton, Jeannine Sue, Omri Har Shemesh, Scott Anthony Robson, David Haas, Robert Yolken, Or Duek, Pavel Dusek, Paul Cox, Trey Causey and Andreas Kröpelin.

Visit https://www.patreon.com/learnbayesstats to unlock exclusive Bayesian swag ;)

Links from the show:

• LBS on Twitter: https://twitter.com/LearnBayesStats
• LBS on Linkedin: https://www.linkedin.com/company/learn-bayes-stats/
• Adrian on GitHub: https://github.com/aseyboldt
• Nutpie repository: https://github.com/pymc-devs/nutpie
• ZeroSumNormal distribution: https://www.pymc.io/projects/docs/en/stable/api/distributions/generated/pymc.ZeroSumNormal.html
• Pathfinder – A parallel quasi-Newton algorithm for reaching regions of high probability mass: https://statmodeling.stat.columbia.edu/2021/08/10/pathfinder-a-parallel-quasi-newton-algorithm-for-reaching-regions-of-high-probability-mass/

Abstract

by Christoph Bamberg

Adrian Seyboldt, the guest of this week’s episode, is an active developer of the PyMC library in Python and his new tool nutpie in Rust. He is also a colleague at PyMC-Labs and friend. So naturally, this episode gets technical and nerdy. 

We talk about parametrisation, a topic important for anyone trying to implement a Bayesian model and what to do or avoid (don't use the mean of the data!). 

Adrian explains a new approach to setting categorical parameters, using the Zero Sum Normal Distribution that he developed. The approach is explained in an accessible way with examples, so everyone can understand and implement it themselves.

We also talked about further technical topics like initialising a sampler, the use of warm-up samples, mass matrix adaptation and much more. The difference between probability theory and statistics as well as his view on the challenges in Bayesian statistics complete the episode.