<p>In applied Bayesian inference scenarios, users may have access to a large number of pre-existing model evaluations, for example from maximum-a-posteriori (MAP) optimization runs. However, traditional approximate inference techniques make little to no use of this available information. We propose the framework of <i>post-process Bayesian inference</i> as a means to obtain a quick posterior approximation from existing target density evaluations, with no further model calls. Within this framework, we introduce Variational Sparse Bayesian Quadrature (<span>vsbq</span>), a method for post-process approximate inference for models with <i>black-box</i> and potentially noisy likelihoods. <span>vsbq</span> reuses existing target density evaluations to build a sparse Gaussian process (GP) surrogate model of the log posterior density function. Subsequently, we leverage sparse-GP Bayesian quadrature combined with variational inference to achieve fast approximate posterior inference over the surrogate. We validate our method on challenging synthetic scenarios and real-world applications from computational neuroscience. The experiments show that <span>vsbq</span> builds high-quality posterior approximations by post-processing existing optimization traces, with no further model evaluations.</p>

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Fast post-process Bayesian inference with Variational Sparse Bayesian Quadrature

  • Chengkun Li,
  • Grégoire Clarté,
  • Martin Jørgensen,
  • Luigi Acerbi

摘要

In applied Bayesian inference scenarios, users may have access to a large number of pre-existing model evaluations, for example from maximum-a-posteriori (MAP) optimization runs. However, traditional approximate inference techniques make little to no use of this available information. We propose the framework of post-process Bayesian inference as a means to obtain a quick posterior approximation from existing target density evaluations, with no further model calls. Within this framework, we introduce Variational Sparse Bayesian Quadrature (vsbq), a method for post-process approximate inference for models with black-box and potentially noisy likelihoods. vsbq reuses existing target density evaluations to build a sparse Gaussian process (GP) surrogate model of the log posterior density function. Subsequently, we leverage sparse-GP Bayesian quadrature combined with variational inference to achieve fast approximate posterior inference over the surrogate. We validate our method on challenging synthetic scenarios and real-world applications from computational neuroscience. The experiments show that vsbq builds high-quality posterior approximations by post-processing existing optimization traces, with no further model evaluations.