Extending Stan for Deep Probabilistic Programming

Deep probabilistic programming combines deep neural networks (for automatic hierarchical representation learning) with probabilistic models (for principled handling of uncertainty). Unfortunately, it is difficult to write deep probabilistic models, because existing programming frameworks lack concise, high-level, and clean ways to express them. To ease this task, we extend Stan, a popular high-level probabilistic programming language, to use deep neural networks written in PyTorch. Training deep probabilistic models works best with variational inference, so we also extend Stan for that. We implement these extensions by translating Stan programs to Pyro. Our translation clarifies the relationship between different families of probabilistic programming languages. Overall, our paper is a step towards making deep probabilistic programming easier.