Preconditioned Neural Posterior Estimation for Likelihood-free Inference

Xiaoyu Wang, Ryan P. Kelly, David J Warne, Christopher Drovandi

Abstract: Simulation-based inference (SBI) methods enable the estimation of posterior distributions when the likelihood function is intractable, but where model simulation is feasible. Popular neural approaches to SBI are neural posterior estimation (NPE) and its sequential version (SNPE). These methods can outperform statistical SBI approaches such as approximate Bayesian computation (ABC), particularly for relatively small numbers of model simulations. However, we show in this paper that the NPE methods are not guaranteed to be highly accurate, even on problems with low dimension. In such settings the posterior cannot be accurately trained over the prior predictive space, and even the sequential extension remains sub-optimal. To overcome this, we propose preconditioned NPE (PNPE) and its sequential version (PSNPE), which uses a short run of ABC to effectively eliminate regions of parameter space that produce large discrepancies between simulations and data and allow the posterior emulator to be more accurately trained. We present comprehensive empirical evidence that this melding of neural and statistical SBI methods improves performance over a range of examples including a motivating example involving a complex agent-based model applied to real tumour growth data.

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

Previous TMLR Submission Url: https://openreview.net/forum?id=5nwsv6QmCc&referrer=%5BAuthor%20Console%5D(%2Fgroup%3Fid%3DTMLR%2FAuthors%23your-submissions)

Changes Since Last Submission: correct caption for svar example.

Code: https://github.com/john-wang1015/PNPE

Assigned Action Editor: ~Andriy_Mnih1

Submission Number: 2758