There are many different probabilistic programming languages that are specialized to specific kinds of probabilistic programs. From a usability and scalability perspective, this is undesirable: today, probabilistic programmers are forced up-front to decide which language they want to use and cannot mix-and-match different languages for handling heterogeneous programs. To rectify this, we seek a foundation for sound interoperability for probabilistic programming languages: just as today’s Python programmers can resort to low-level C programming for performance, we argue that probabilistic programmers should be able to freely mix different languages for meeting the demands of heterogeneous probabilistic programming environments. As a first step towards this goal, we introduce Multi PPL, a probabilistic multi-language that enables programmers to interoperate between two different probabilistic programming languages: one that leverages a high-performance exact discrete inference strategy, and one that uses approximate importance sampling. We give a syntax and semantics for Multi PPL, prove soundness of its inference algorithm, and provide empirical evidence that it enables programmers to perform inference on complex heterogeneous probabilistic programs and flexibly exploits the strengths and weaknesses of two languages simultaneously.

We develop operators for construction of proposals in probabilistic programs, which we refer to as inference combinators. Inference combinators define a grammar over importance samplers that compose primitive operations such as application of a transition kernel and importance resampling. Proposals in these samplers can be parameterized using neural networks, which in turn can be trained by optimizing variational objectives. The result is a framework for user-programmable variational methods that are correct by construction and can be tailored to specific models. We demonstrate the flexibility of this framework by implementing advanced variational methods based on amortized Gibbs sampling and annealing.