Approximate Bayesian inference from noisy likelihoods with Gaussian process emulated MCMC

• URL: http://arxiv.org/abs/2104.03942v2
• Date: Thu, 31 Aug 2023 15:46:04 GMT
• Title: Approximate Bayesian inference from noisy likelihoods with Gaussian process emulated MCMC
• Authors: Marko J\"arvenp\"a\"a, Jukka Corander
• Abstract summary: We model the log-likelihood function using a Gaussian process (GP) The main methodological innovation is to apply this model to emulate the progression that an exact Metropolis-Hastings (MH) sampler would take. The resulting approximate sampler is conceptually simple and sample-efficient.
• Score: 0.24275655667345403
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We present a framework for approximate Bayesian inference when only a limited number of noisy log-likelihood evaluations can be obtained due to computational constraints, which is becoming increasingly common for applications of complex models. We model the log-likelihood function using a Gaussian process (GP) and the main methodological innovation is to apply this model to emulate the progression that an exact Metropolis-Hastings (MH) sampler would take if it was applicable. Informative log-likelihood evaluation locations are selected using a sequential experimental design strategy until the MH accept/reject decision is done accurately enough according to the GP model. The resulting approximate sampler is conceptually simple and sample-efficient. It is also more robust to violations of GP modelling assumptions compared with earlier, related "Bayesian optimisation-like" methods tailored for Bayesian inference. We discuss some theoretical aspects and various interpretations of the resulting approximate MH sampler, and demonstrate its benefits in the context of Bayesian and generalised Bayesian likelihood-free inference for simulator-based statistical models.

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