2022/01/28 by Ayush Bharti, Bharti, Ayush, Louis Filstroff +3 · 2 citations
Computer Science · Mathematics · #Algorithms and Data Compression #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning and Algorithms #Markov Chains and Monte Carlo Methods
paper · doi:10.48550/arxiv.2201.12090
openalex publication_date 2022/01/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Approximate Bayesian computation (ABC) is a popular likelihood-free inference method for models with intractable likelihood functions. As ABC methods usually rely on comparing summary statistics of observed and simulated data, the choice of the statistics is crucial. This choice involves a trade-off between loss of information and dimensionality reduction, and is often determined based on domain knowledge. However, handcrafting and selecting suitable statistics is a laborious task involving multiple trial-and-error steps. In this work, we introduce an active learning method for ABC statistics selection which reduces the domain expert's work considerably. By involving the experts, we are able to handle misspecified models, unlike the existing dimension reduction methods. Moreover, empirical results show better posterior estimates than with existing methods, when the simulation budget is limited.