Variational Bayesian Monte Carlo with Noisy Likelihoods

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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.
Titel på gästpublikationAdvances in Neural Information Processing Systems 33 (NeurIPS 2020)
Utgivningsdatum19 okt 2020
StatusPublicerad - 19 okt 2020
MoE-publikationstypA4 Artikel i en konferenspublikation
EvenemangConference on Neural Information Processing System - Vancouver, Kanada
Varaktighet: 6 dec 202012 dec 2020
Konferensnummer: 34

FörlagCornell University
ISSN (tryckt)2331-8422


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