Why pymc-learn?

There are several probabilistic machine learning frameworks available today. Why use pymc-learn rather than any other? Here are some of the reasons why you may be compelled to use pymc-learn.

pymc-learn prioritizes user experience

  • Familiarity: pymc-learn mimics the syntax of scikit-learn – a popular Python library for machine learning – which has a consistent & simple API, and is very user friendly.
  • Ease of use: This makes pymc-learn easy to learn and use for first-time users.
  • Productivity: For scikit-learn users, you don’t have to completely rewrite your code. Your code looks almost the same. You are more productive, allowing you to try more ideas faster.
from sklearn.linear_model \                         from pmlearn.linear_model \
  import LinearRegression                             import LinearRegression
lr = LinearRegression()                             lr = LinearRegression()
lr.fit(X, y)                                        lr.fit(X, y)
  • Flexibility: This ease of use does not come at the cost of reduced flexibility. Given that pymc-learn integrates with PyMC3, it enables you to implement anything you could have built in the base language.
  • Performance. The primary inference algorithm is gradient-based automatic differentiation variational inference (ADVI) (Kucukelbir et al., 2017), which estimates a divergence measure between approximate and true posterior distributions. Pymc-learn scales to complex, high-dimensional models thanks to GPU-accelerated tensor math and reverse-mode automatic differentiation via Theano (Theano Development Team, 2016), and it scales to large datasets thanks to estimates computed over mini-batches of data in ADVI.

Why do we need pymc-learn?

Currently, there is a growing need for principled machine learning approaches by non-specialists in many fields including the pure sciences (e.g. biology, physics, chemistry), the applied sciences (e.g. political science, biostatistics), engineering (e.g. transportation, mechanical), medicine (e.g. medical imaging), the arts (e.g visual art), and software industries.

This has lead to increased adoption of probabilistic modeling. This trend is attributed in part to three major factors:

  1. the need for transparent models with calibrated quantities of uncertainty, i.e. “models should know when they don’t know”,
  2. the ever-increasing number of promising results achieved on a variety of fundamental problems in AI (Ghahramani, 2015), and
  3. the emergency of probabilistic programming languages (PPLs) that provide a fexible framework to build richly structured probabilistic models that incorporate domain knowledge.

However, usage of PPLs requires a specialized understanding of probability theory, probabilistic graphical modeling, and probabilistic inference. Some PPLs also require a good command of software coding. These requirements make it difficult for non-specialists to adopt and apply probabilistic machine learning to their domain problems.

Pymc-learn seeks to address these challenges by providing state-of-the art implementations of several popular probabilistic machine learning models. It is inspired by scikit-learn (Pedregosa et al., 2011) and focuses on bringing probabilistic machine learning to non-specialists. It puts emphasis on:

  1. ease of use,
  2. productivity,
  3. fexibility,
  4. performance,
  5. documentation, and
  6. an API consistent with scikit-learn.

The underlying probabilistic models are built using pymc3 (Salvatier et al., 2016).

Transitioning from PyMC3 to PyMC4

Python is the lingua franca of Data Science

Python has become the dominant language for both data science, and general programming:

Growth of major programming languages

This popularity is driven both by computational libraries like Numpy, Pandas, and Scikit-Learn and by a wealth of libraries for visualization, interactive notebooks, collaboration, and so forth.

Stack overflow traffic to various packages

Image credit to Stack Overflow blogposts #1 and #2

Why scikit-learn and PyMC3

PyMC3 is a Python package for probabilistic machine learning that enables users to build bespoke models for their specific problems using a probabilistic modeling framework. However, PyMC3 lacks the steps between creating a model and reusing it with new data in production. The missing steps include: scoring a model, saving a model for later use, and loading the model in production systems.

In contrast, scikit-learn which has become the standard library for machine learning provides a simple API that makes it very easy for users to train, score, save and load models in production. However, scikit-learn may not have the model for a user’s specific problem. These limitations have led to the development of the open source pymc3-models library which provides a template to build bespoke PyMC3 models on top of the scikit-learn API and reuse them in production. This enables users to easily and quickly train, score, save and load their bespoke models just like in scikit-learn.

The pymc-learn project adopted and extended the template in pymc3-models to develop probabilistic versions of the estimators in scikit-learn. This provides users with probabilistic models in a simple workflow that mimics the scikit-learn API.

Quantification of uncertainty

Today, many data-driven solutions are seeing a heavy use of machine learning for understanding phenomena and predictions. For instance, in cyber security, this may include monitoring streams of network data and predicting unusual events that deviate from the norm. For example, an employee downloading large volumes of intellectual property (IP) on a weekend. Immediately, we are faced with our first challenge, that is, we are dealing with quantities (unusual volume & unusual period) whose values are uncertain. To be more concrete, we start off very uncertain whether this download event is unusually large and then slowly get more and more certain as we uncover more clues such as the period of the week, performance reviews for the employee, or did they visit WikiLeaks?, etc.

In fact, the need to deal with uncertainty arises throughout our increasingly data-driven world. Whether it is Uber autonomous vehicles dealing with predicting pedestrians on roadways or Amazon’s logistics apparatus that has to optimize its supply chain system. All these applications have to handle and manipulate uncertainty. Consequently, we need a principled framework for quantifying uncertainty which will allow us to create applications and build solutions in ways that can represent and process uncertain values.

Fortunately, there is a simple framework for manipulating uncertain quantities which uses probability to quantify the degree of uncertainty. To quote Prof. Zhoubin Ghahramani, Uber’s Chief Scientist and Professor of AI at University of Cambridge:

Just as Calculus is the fundamental mathematical principle for calculating rates of change, Probability is the fundamental mathematical principle for quantifying uncertainty.

The probabilistic approach to machine learning is an exciting area of research that is currently receiving a lot of attention in many conferences and Journals such as NIPS, UAI, AISTATS, JML, IEEE PAMI, etc.


  1. Ghahramani, Z. (2015). Probabilistic machine learning and artificial intelligence. Nature, 521(7553), 452.
  2. Bishop, C. M. (2013). Model-based machine learning. Phil. Trans. R. Soc. A, 371(1984), 20120222.
  3. Murphy, K. P. (2012). Machine learning: a probabilistic perspective. MIT Press.
  4. Barber, D. (2012). Bayesian reasoning and machine learning. Cambridge University Press.
  5. Salvatier, J., Wiecki, T. V., & Fonnesbeck, C. (2016). Probabilistic programming in Python using PyMC3. PeerJ Computer Science, 2, e55.
  6. Alp Kucukelbir, Dustin Tran, Rajesh Ranganath, Andrew Gelman, and David M Blei. Automatic differentiation variational inference. The Journal of Machine Learning Research, 18(1):430{474, 2017.
  7. Fabian Pedregosa, Gael Varoquaux, Alexandre Gramfort, Vincent Michel, Bertrand Thirion, Olivier Grisel, Mathieu Blondel, Peter Prettenhofer, Ron Weiss, Vincent Dubourg, et al. Scikit-learn: Machine learning in python. Journal of machine learning research, 12(Oct): 2825-2830, 2011.
  8. Theano Development Team. Theano: A Python framework for fast computation of mathematical expressions. arXiv e-prints, abs/1605.02688, May 2016. URL http://arxiv.org/abs/1605.02688.