Abstract: We present extensive empirical evidence showing that current Bayesian simulation-based inference algorithms can produce computationally unfaithful posterior approximations. Our results show that all benchmarked algorithms -- (S)NPE, (S)NRE, SNL and variants of ABC -- can yield overconfident posterior approximations, which makes them unreliable for scientific use cases and falsificationist inquiry. Failing to address this issue may reduce the range of applicability of simulation-based inference. For this reason, we argue that research efforts should be made towards theoretical and methodological developments of conservative approximate inference algorithms and present research directions towards this objective. In this regard, we show empirical evidence that ensembling posterior surrogates provides more reliable approximations and mitigates the issue.
License: Creative Commons Attribution 4.0 International (CC BY 4.0)
Submission Length: Regular submission (no more than 12 pages of main content)
Changes Since Last Submission: Not applicable
Assigned Action Editor: ~Alp_Kucukelbir1
Submission Number: 396