ReactiveMP.jl: A Julia Package for Reactive Message Passing-based Bayesian Inference

Abstract

ReactiveMP.jl is a native Julia implementation of reactive message passing-based Bayesian inference in probabilistic graphical models with Factor Graphs. The package does Constrained Bethe Free Energy minimisation and supports both exact and variational Bayesian inference, provides a convenient syntax for model specification and allows for extra factorisation and form constraints specification of the variational family of distributions. In addition, ReactiveMP.jl includes a large range of standard probabilistic models and can easily be extended to custom novel nodes and message update rules. In contrast to non-reactive (imperatively coded) Bayesian inference packages, ReactiveMP.jl scales easily to support inference on a standard laptop for large conjugate models with tens of thousands of variables and millions of nodes.