Simulation-efficient marginal posterior estimation with swyft: stop wasting your precious time

• URL: http://arxiv.org/abs/2011.13951v1
• Date: Fri, 27 Nov 2020 19:00:07 GMT
• Title: Simulation-efficient marginal posterior estimation with swyft: stop wasting your precious time
• Authors: Benjamin Kurt Miller, Alex Cole, Gilles Louppe, Christoph Weniger
• Abstract summary: We present algorithms for nested neural likelihood-to-evidence ratio estimation and simulation reuse. Together, these algorithms enable automatic and extremely simulator efficient estimation of marginal and joint posteriors.
• Score: 5.533353383316288
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: We present algorithms (a) for nested neural likelihood-to-evidence ratio estimation, and (b) for simulation reuse via an inhomogeneous Poisson point process cache of parameters and corresponding simulations. Together, these algorithms enable automatic and extremely simulator efficient estimation of marginal and joint posteriors. The algorithms are applicable to a wide range of physics and astronomy problems and typically offer an order of magnitude better simulator efficiency than traditional likelihood-based sampling methods. Our approach is an example of likelihood-free inference, thus it is also applicable to simulators which do not offer a tractable likelihood function. Simulator runs are never rejected and can be automatically reused in future analysis. As functional prototype implementation we provide the open-source software package swyft.

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