In plain words: Pyro is a Python-based language for building probabilistic models, using GPU-powered deep learning tools so it can handle huge datasets and many variables. It also lets users swap in custom ways of fitting models to data through composable building blocks, unlike rigid one-size-fits-all systems.

Abstract · Pyro: Deep Universal Probabilistic Programming

Pyro is a probabilistic programming language built on Python as a platform for developing advanced probabilistic models in AI research. To scale to large datasets and high-dimensional models, Pyro uses stochastic variational inference algorithms and probability distributions built on top of PyTorch, a modern GPU-accelerated deep learning framework. To accommodate complex or model-specific algorithmic behavior, Pyro leverages Poutine, a library of composable building blocks for modifying the behavior of probabilistic programs.

Eli Bingham, Jonathan P. Chen, Martin Jankowiak, Fritz Obermeyer, Neeraj Pradhan, Theofanis Karaletsos, Rohit Singh, Paul Szerlip, Paul Horsfall, Noah D. Goodman
arXiv:1810.09538 · cs.LG, cs.PL, stat.ML · submitted Oct 18, 2018
abstract · pdf · html · Submitted to JMLR MLOSS track