Variational Inference with NoFAS: Normalizing Flow with Adaptive Surrogate for Computationally Expensive Models

• URL: http://arxiv.org/abs/2108.12657v1
• Date: Sat, 28 Aug 2021 14:31:45 GMT
• Title: Variational Inference with NoFAS: Normalizing Flow with Adaptive Surrogate for Computationally Expensive Models
• Authors: Yu Wang, Fang Liu and Daniele E. Schiavazzi
• Abstract summary: Use of sampling-based approaches such as Markov chain Monte Carlo may become intractable when each likelihood evaluation is computationally expensive. New approaches combining variational inference with normalizing flow are characterized by a computational cost that grows only linearly with the dimensionality of the latent variable space. We propose Normalizing Flow with Adaptive Surrogate (NoFAS), an optimization strategy that alternatively updates the normalizing flow parameters and the weights of a neural network surrogate model.
• Score: 7.217783736464403
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: Fast inference of numerical model parameters from data is an important prerequisite to generate predictive models for a wide range of applications. Use of sampling-based approaches such as Markov chain Monte Carlo may become intractable when each likelihood evaluation is computationally expensive. New approaches combining variational inference with normalizing flow are characterized by a computational cost that grows only linearly with the dimensionality of the latent variable space, and rely on gradient-based optimization instead of sampling, providing a more efficient approach for Bayesian inference about the model parameters. Moreover, the cost of frequently evaluating an expensive likelihood can be mitigated by replacing the true model with an offline trained surrogate model, such as neural networks. However, this approach might generate significant bias when the surrogate is insufficiently accurate around the posterior modes. To reduce the computational cost without sacrificing inferential accuracy, we propose Normalizing Flow with Adaptive Surrogate (NoFAS), an optimization strategy that alternatively updates the normalizing flow parameters and the weights of a neural network surrogate model. We also propose an efficient sample weighting scheme for surrogate model training that ensures some global accuracy of the surrogate while capturing the likely regions of the parameters that yield the observed data. We demonstrate the inferential and computational superiority of NoFAS against various benchmarks, including cases where the underlying model lacks identifiability. The source code and numerical experiments used for this study are available at https://github.com/cedricwangyu/NoFAS.

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