Uncertainty-Aware Surrogate-based Amortized Bayesian Inference for Computationally Expensive Models

TMLR Paper5992 Authors

Abstract: Bayesian inference typically relies on a large number of model evaluations to estimate posterior distributions. Established methods like Markov Chain Monte Carlo (MCMC) and Amortized Bayesian Inference (ABI) can become computationally challenging. While ABI enables fast inference $\text{\emph{after}}$ training, generating sufficient training data still requires thousands of model simulations, which is infeasible for expensive models. Surrogate models offer a solution by providing $\text{\emph{approximate}}$ simulations at a lower computational cost, allowing the generation of large data sets for training. However, the introduced approximation errors and uncertainties can lead to overconfident posterior estimates. To address this, we propose Uncertainty-Aware Surrogate-based Amortized Bayesian Inference (UA-SABI) -- a framework that combines surrogate modeling and ABI while explicitly quantifying and propagating surrogate uncertainties through the inference pipeline. Our experiments show that this approach enables reliable, fast, and repeated Bayesian inference for computationally expensive models, even under tight time constraints.

Submission Length: Long submission (more than 12 pages of main content)

Assigned Action Editor: ~Manuel_Haussmann1

Submission Number: 5992