Variational inference with vine copulas: an efficient approach for Bayesian computer model calibration

DOI10.1007/S11222-022-10194-ZzbMATH Open1502.62017arXiv2003.12890OpenAlexW3013828499MaRDI QIDQ2110192FDOQ2110192

Vojtech Kejzlar, Tapabrata Maiti

Publication date: 21 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: With the advancements of computer architectures, the use of computational models proliferates to solve complex problems in many scientific applications such as nuclear physics and climate research. However, the potential of such models is often hindered because they tend to be computationally expensive and consequently ill-fitting for uncertainty quantification. Furthermore, they are usually not calibrated with real-time observations. We develop a computationally efficient algorithm based on variational Bayes inference (VBI) for calibration of computer models with Gaussian processes. Unfortunately, the speed and scalability of VBI diminishes when applied to the calibration framework with dependent data. To preserve the efficiency of VBI, we adopt a pairwise decomposition of the data likelihood using vine copulas that separate the information on dependence structure in data from their marginal distributions. We provide both theoretical and empirical evidence for the computational scalability of our methodology and describe all the necessary details for an efficient implementation of the proposed algorithm. We also demonstrate the opportunities given by our method for practitioners on a real data example through calibration of the Liquid Drop Model of nuclear binding energies.

Full work available at URL: https://arxiv.org/abs/2003.12890

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to physics (62P35)

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Cited In (2)

• Specification of informative prior distributions for multinomial models using vine copulas
• A review on computer model calibration

Uses Software

• AdaGrad
• RMSprop
• ADVI
• ADADELTA

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