Variational Bayesian Monte Carlo with Noisy Likelihoods

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Abstract

Variational Bayesian Monte Carlo (VBMC) is a recently introduced framework that uses Gaussian process surrogates to perform approximate Bayesian inference in models with black-box, non-cheap likelihoods. In this work, we extend VBMC to deal with noisy log-likelihood evaluations, such as those arising from simulation-based models. We introduce new `global' acquisition functions, such as expected information gain (EIG) and variational interquantile range (VIQR), which are robust to noise and can be efficiently evaluated within the VBMC setting. In a novel, challenging, noisy-inference benchmark comprising of a variety of models with real datasets from computational and cognitive neuroscience, VBMC+VIQR achieves state-of-the-art performance in recovering the ground-truth posteriors and model evidence. In particular, our method vastly outperforms `local' acquisition functions and other surrogate-based inference methods while keeping a small algorithmic cost. Our benchmark corroborates VBMC as a general-purpose technique for sample-efficient black-box Bayesian inference also with noisy models.
Original languageEnglish
Title of host publicationNeurIPS 2020
Number of pages12
PublisherNeural Information Processing Systems Foundation
Publication dateDec 2020
Publication statusPublished - Dec 2020
MoE publication typeA4 Article in conference proceedings
EventConference on Neural Information Processing System - Vancouver, Canada
Duration: 6 Dec 202012 Dec 2020
Conference number: 34
https://nips.cc/

Publication series

NameAdvances in Neural Information Processing Systems
PublisherNeural information processing systems foundation
Volume33
ISSN (Electronic)1049-5258

Fields of Science

  • 113 Computer and information sciences

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