Embedding Models into Optimization (Uber Reproduction)

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Our theme music is « Good Bayesian », by Baba Brinkman (feat MC Lars and Mega Ran). Check out his awesome work!

Visit our Patreon page to unlock exclusive Bayesian swag ;)

Takeaways:

• BART as a core tool: Gabriel explains how Bayesian Additive Regression Trees provide robust uncertainty quantification and serve as a reliable baseline model in many domains.
• Rust for performance: His Rust re-implementation of BART dramatically improves speed and scalability, making it feasible for larger datasets and real-world IoT applications.
• Strengths and trade-offs: BART avoids overfitting and handles missing data gracefully, though it is slower than other tree-based approaches.
• Big data meets Bayes: Gabriel shares strategies for applying Bayesian methods with big data, including when variational inference helps balance scale with rigor.
• Optimization and decision-making: He highlights how BART models can be embedded into optimization frameworks, opening doors for sequential decision-making.
• Open source matters: Gabriel emphasizes the importance of communities like PyMC and Bambi, encouraging newcomers to start with small contributions.

Chapters:

05:10 – From economics to IoT and Bayesian statistics

18:55 – Introduction to BART (Bayesian Additive Regression Trees)

24:40 – Re-implementing BART in Rust for speed and scalability

32:05 – Comparing BART with Gaussian Processes and other tree methods

39:50 – Strengths and limitations of BART

47:15 – Handling missing data and different likelihoods

54:30 – Variational inference and big data challenges

01:01:10 – Embedding BART into optimization and decision-making frameworks

01:08:45 – Open source, PyMC, and community support

01:15:20 – Advice for newcomers

01:20:55 – Future of BART, Rust, and probabilistic programming

Thank you to my Patrons for making this episode possible!

Yusuke Saito, Avi Bryant, Ero Carrera, Giuliano Cruz, James Wade, Tradd Salvo, William Benton, James Ahloy, Robin Taylor,, Chad Scherrer, Zwelithini Tunyiswa, Bertrand Wilden, James Thompson, Stephen Oates, Gian Luca Di Tanna, Jack Wells, Matthew Maldonado, Ian Costley, Ally Salim, Larry Gill, Ian Moran, Paul Oreto, Colin Caprani, Colin Carroll, Nathaniel Burbank, Michael Osthege, Rémi Louf, Clive Edelsten, Henri Wallen, Hugo Botha, Vinh Nguyen, Marcin Elantkowski, Adam C. Smith, Will Kurt, Andrew Moskowitz, Hector Munoz, Marco Gorelli, Simon Kessell, Bradley Rode, Patrick Kelley, Rick Anderson, Casper de Bruin, Philippe Labonde, Michael Hankin, Cameron Smith, Tomáš Frýda, Ryan Wesslen, Andreas Netti, Riley King, Yoshiyuki Hamajima, Sven De Maeyer, Michael DeCrescenzo, Fergal M, Mason Yahr, Naoya Kanai, Aubrey Clayton, Jeannine Sue, Omri Har Shemesh, Scott Anthony Robson, Robert Yolken, Or Duek, Pavel Dusek, Paul Cox, Andreas Kröpelin, Raphaël R, Nicolas Rode, Gabriel Stechschulte, Arkady, Kurt TeKolste, Marcus Nölke, Maggi Mackintosh, Grant Pezzolesi, Joshua Meehl, Javier Sabio, Kristian Higgins, Matt Rosinski, Bart Trudeau, Luis Fonseca, Dante Gates, Matt Niccolls, Maksim Kuznecov, Michael Thomas, Luke Gorrie, Cory Kiser, Julio, Edvin Saveljev, Frederick Ayala, Jeffrey Powell, Gal Kampel, Adan Romero, Will Geary, Blake Walters, Jonathan Morgan, Francesco Madrisotti, Ivy Huang, Gary Clarke, Robert Flannery, Rasmus Hindström, Stefan, Corey Abshire, Mike Loncaric, David McCormick, Ronald Legere, Sergio Dolia, Michael Cao, Yiğit Aşık, Suyog Chandramouli and Adam Tilmar Jakobsen.

Links from the show:

• Gabriel’s website: https://gstechschulte.github.io/
• Gabriel on LinkedIn: https://www.linkedin.com/in/gabrielstechschulte/
• Gabriel on GitHub: https://github.com/GStechschulte 
• Gabriel on Blue Sky: https://bsky.app/profile/gstechschulte.bsky.social
• Gabriel on Google Scholar: https://scholar.google.com/citations?user=ood-6GIAAAAJ&hl=en
• Rust implementation of PyMC-BART: https://github.com/GStechschulte/bart-rs
• PyMC BART: https://www.pymc.io/projects/bart/en/latest/
• Reproducing Uber's Marketplace Optimization: https://gstechschulte.github.io/posts/2025-09-15-marketplace-optimization/
• Alternating Direction Method of Multipliers (ADMM) for distributed budget allocation: https://github.com/GStechschulte/uber-admm
• A Beginner's Guide to Variational Inference | PyData Virginia 2025: https://youtu.be/XECLmgnS6Ng?feature=shared
• Associated GitHub repo: https://github.com/fonnesbeck/vi_pydata_virginia_2025
• Bambi: https://bambinos.github.io/bambi/

Transcript

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