On Monday, 9 November 2015 at 19:31:14 UTC, Márcio Martins wrote:
I have been running some MCMC simulations in Python and it's
hard to cope with how unbelievably slow it is.
Takes me almost a minute to run a few hundred thousand samples
on my laptop whereas I can run the same simulation with a
million samples in under 100ms, on my phone with JavaScript on
a browser.
Then, you spend a minute waiting for the simulation to finish,
to find out you had an error in your report code that would
have been easily caught with static typing. So annoying...
No matter how interested I am in Bayesian statistics, I would
think that an MCMC library is relatively lower in importance than
a number of other libraries.
I've written some Gibbs samplers in Matlab and Python. They are
quite slow in those languages, but I didn't notice that the
Python code was more than 2X or so slower than the Matlab code,
and I believe that was almost entirely due to Matlab using Intel
MKL and Numpy using a slightly less efficient implementation.
While I learned a lot about MCMC by writing my own Gibbs
samplers, I don't write them much anymore. I make more use of MC
Stan, which can be called from Python with PyStan (maybe easier
if you're on Linux than Windows, I tend to use rstan more which
works easily with Windows). PyMC is another option that I've
heard good things about, but I haven't tried it.
I think the simplest way forward would be something like wrappers
to functionality in other languages. With PyD, it shouldn't be
inconceivable to have a wrapper to PyMC. Alternately, MC Stan is
written in C++ and has interfaces to a number of languages. Being
able to call Stan from D would be cool, especially since I don't
even think there's a C++ interface yet (you have to use the
command line or R or whatever). I have essentially no idea how to
do that.
Is anyone doing similar stuff with D? Unfortunately, I couldn't
find any plotting libraries nor MATLAB-like numerical/stats
libs in dub.
My attitude is the more the better.
This seems like another area where D could easily pick up
momentum with RDMD and perhaps an integration with Jupyter
which is becoming very very popular.
That would be interesting, but I'm not sure how high a priority
it is.
