Sequential Neural Likelihood: Fast Likelihoodfree Inference with Autoregressive Flows
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Proceedings of Machine Learning Research, PMLR 89:837848, 2019.
Abstract
We present Sequential Neural Likelihood (SNL), a new method for Bayesian inference in simulator models, where the likelihood is intractable but simulating data from the model is possible. SNL trains an autoregressive flow on simulated data in order to learn a model of the likelihood in the region of high posterior density. A sequential training procedure guides simulations and reduces simulation cost by orders of magnitude. We show that SNL is more robust, more accurate and requires less tuning than related neuralbased methods, and we discuss diagnostics for assessing calibration, convergence and goodnessoffit.
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