Multifidelity approximate Bayesian computation with sequential Monte Carlo parameter sampling

DOI10.1137/20M1316160MaRDI QIDQ4995124zbMATH OpenOpenAlexFDO

Authors Thomas P. Prescott, Ruth E. Baker

Publication date 23 June 2021

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.06256

zbMATH Keywords

Bayesian inferencelikelihood-free methodsmultifidelity methodssequential Monte Carlostochastic simulation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

Abstract: Multifidelity approximate Bayesian computation (MF-ABC) is a likelihood-free technique for parameter inference that exploits model approximations to significantly increase the speed of ABC algorithms (Prescott and Baker, 2020). Previous work has considered MF-ABC only in the context of rejection sampling, which does not explore parameter space particularly efficiently. In this work, we integrate the multifidelity approach with the ABC sequential Monte Carlo (ABC-SMC) algorithm into a new MF-ABC-SMC algorithm. We show that the improvements generated by each of ABC-SMC and MF-ABC to the efficiency of generating Monte Carlo samples and estimates from the ABC posterior are amplified when the two techniques are used together.

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Cited in

(7)

• Multilevel bootstrap particle filter
• Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
• Multifidelity approximate Bayesian computation
• A bandit-learning approach to multifidelity approximation
• Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
• Efficient multifidelity likelihood-free Bayesian inference with adaptive computational resource allocation
• Conditional density estimation using population Monte Carlo based approximate Bayesian computation

Describes a project that uses

Uses Software

• Julia

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