Past, Present and Future of Software for Bayesian Inference
Erik Štrumbelj, Alexandre Bouchard‐Côté, Jukka Corander, Andrew Gelman, Håvard Rue, Lawrence M. Murray, Henri Pesonen, Martyn Plummer, Aki Vehtari
Abstract
Software tools for Bayesian inference have undergone rapid evolution in the past three decades, following popularisation of the first generation MCMC-sampler implementations. More recently, exponential growth in the number of users has been stimulated both by the active development of new packages by the machine learning community and popularity of specialist software for particular applications. This review aims to summarize the most popular software and provide a useful map for a reader to navigate the world of Bayesian computation. We anticipate a vigorous continued development of algorithms and corresponding software in multiple research fields, such as probabilistic programming, likelihood-free inference and Bayesian neural networks, which will further broaden the possibilities for employing the Bayesian paradigm in exciting applications.