Multifidelity approximate Bayesian computation
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Publication:4960985
DOI10.1137/18M1229742zbMATH Open1436.62097arXiv1811.09550OpenAlexW3000269992WikidataQ126347139 ScholiaQ126347139MaRDI QIDQ4960985FDOQ4960985
Authors: Thomas P. Prescott, Ruth E. Baker 
Publication date: 24 April 2020
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Abstract: A vital stage in the mathematical modelling of real-world systems is to calibrate a model's parameters to observed data. Likelihood-free parameter inference methods, such as Approximate Bayesian Computation, build Monte Carlo samples of the uncertain parameter distribution by comparing the data with large numbers of model simulations. However, the computational expense of generating these simulations forms a significant bottleneck in the practical application of such methods. We identify how simulations of cheap, low-fidelity models have been used separately in two complementary ways to reduce the computational expense of building these samples, at the cost of introducing additional variance to the resulting parameter estimates. We explore how these approaches can be unified so that cost and benefit are optimally balanced, and we characterise the optimal choice of how often to simulate from cheap, low-fidelity models in place of expensive, high-fidelity models in Monte Carlo ABC algorithms. The resulting early accept/reject multifidelity ABC algorithm that we propose is shown to give improved performance over existing multifidelity and high-fidelity approaches.
Full work available at URL: https://arxiv.org/abs/1811.09550
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Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Probabilistic models, generic numerical methods in probability and statistics (65C20) System identification (93B30)
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Cited In (6)
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Rapid Bayesian Inference for Expensive Stochastic Models
- Efficient multifidelity likelihood-free Bayesian inference with adaptive computational resource allocation
- Active learning with multifidelity modeling for efficient rare event simulation
- Multifidelity Approximate Bayesian Computation with Sequential Monte Carlo Parameter Sampling
- Title not available (Why is that?)
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