Stratified sampling and bootstrapping for approximate Bayesian computation

Autor: Picchini, Umberto, Everitt, Richard G.
Rok vydání: 2019
Předmět:
Druh dokumentu: Working Paper
Popis: Approximate Bayesian computation (ABC) is computationally intensive for complex model simulators. To exploit expensive simulations, data-resampling via bootstrapping can be employed to obtain many artificial datasets at little cost. However, when using this approach within ABC, the posterior variance is inflated, thus resulting in biased posterior inference. Here we use stratified Monte Carlo to considerably reduce the bias induced by data resampling. We also show empirically that it is possible to obtain reliable inference using a larger than usual ABC threshold. Finally, we show that with stratified Monte Carlo we obtain a less variable ABC likelihood. Ultimately we show how our approach improves the computational efficiency of the ABC samplers. We construct several ABC samplers employing our methodology, such as rejection and importance ABC samplers, and ABC-MCMC samplers. We consider simulation studies for static (Gaussian, g-and-k distribution, Ising model, astronomical model) and dynamic models (Lotka-Volterra). We compare against state-of-art sequential Monte Carlo ABC samplers, synthetic likelihoods, and likelihood-free Bayesian optimization. For a computationally expensive Lotka-Volterra case study, we found that our strategy leads to a more than 10-fold computational saving, compared to a sampler that does not use our novel approach.
Comment: 35 pages, 10 figures. Major revision: uses stratification with rejection and importance sampling ABC; compares several bootstrap procedures; new supernova case study
Databáze: arXiv