Expectation Propagation for Likelihood-Free Inference
Expectation Propagation for Likelihood-Free Inference
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DOI：
10.1080/01621459.2013.864178
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发表时间：
2014-03-01
影响因子：
3.7
通讯作者：
Chopin, Nicolas
中科院分区：
文献类型：
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作者：
Barthelme, Simon;Chopin, Nicolas
在自然科学和社会科学中，许多感兴趣的模型没有封闭形式的似然函数，这意味着它们不能使用通常的统计推断技术来处理。在这种模型可以有效模拟的情况下，由于近似贝叶斯计算（ABC）算法，贝叶斯推理仍然是可能的。虽然提出了许多改进方法，但ABC推理还远远不够常规。由于接受率非常低，ABC通常非常缓慢。此外，ABC需要引入一个“汇总统计”向量s(y)，它的选择是相对任意的，并且经常需要一些尝试和错误，使得整个过程对用户来说很费力。在这项工作中，我们介绍了EP-ABC算法，这是一种适应于被称为期望传播的变分近似算法的无似然上下文的算法。EP-ABC的主要优点是，它比标准算法快几个数量级，同时产生的总体近似误差通常可以忽略不计。EP-ABC的第二个优点是它取代了通常的全局ABC约束竖条竖条s(y) - s（y*）竖条竖条
Many models of interest in the natural and social sciences have no closed-form likelihood function, which means that they cannot be treated using the usual techniques of statistical inference. In the case where such models can be efficiently simulated, Bayesian inference is still possible thanks to the approximate Bayesian computation (ABC) algorithm. Although many refinements have been suggested, ABC inference is still far from routine. ABC is often excruciatingly slow due to very low acceptance rates. In addition, ABC requires introducing a vector of "summary statistics" s(y), the choice of which is relatively arbitrary, and often require some trial and error, making the whole process laborious for the user. We introduce in this work the EP-ABC algorithm, which is an adaptation to the likelihood-free context of the variational approximation algorithm known as expectation propagation. The main advantage of EP-ABC is that it is faster by a few orders of magnitude than standard algorithms, while producing an overall approximation error that is typically negligible. A second advantage of EP-ABC is that it replaces the usual global ABC constraint vertical bar vertical bar s(y) - s(y*)vertical bar vertical bar