Truncated Marginal Neural Ratio Estimation

Benjamin Kurt Miller, Alex Cole, Patrick Forré, Gilles Louppe, Christoph Weniger

Keywords: simulation-based inference, likelihood-free inference, implicit likelihood, posterior, marginal posterior, likelihood-to-evidence ratio estimation, neural ratio estimation, empirically testable inference, Bayesian inference, inverse problem

TL;DR: We present an empirically testable simulation-based inference algorithm which efficiently estimates any marginal posterior by approximating the likelihood-to-evidence ratio on the region of highest posterior density.

Abstract: Parametric stochastic simulators are ubiquitous in science, often featuring high-dimensional input parameters and/or an intractable likelihood. Performing Bayesian parameter inference in this context can be challenging. We present a neural simulation-based inference algorithm which simultaneously offers simulation efficiency and fast empirical posterior testability, which is unique among modern algorithms. Our approach is simulation efficient by simultaneously estimating low-dimensional marginal posteriors instead of the joint posterior and by proposing simulations targeted to an observation of interest via a prior suitably truncated by an indicator function. Furthermore, by estimating a locally amortized posterior our algorithm enables efficient empirical tests of the robustness of the inference results. Since scientists cannot access the ground truth, these tests are necessary for trusting inference in real-world applications. We perform experiments on a marginalized version of the simulation-based inference benchmark and two complex and narrow posteriors, highlighting the simulator efficiency of our algorithm as well as the quality of the estimated marginal posteriors.

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Code: https://github.com/bkmi/tmnre

Community Implementations: [ 6 code implementations](https://www.catalyzex.com/paper/arxiv:2107.01214/code)