An Extendable Python Implementation of Robust Optimization Monte Carlo

Performing inference in statistical models with an intractable likelihood is challenging, therefore, most likelihood-free inference (LFI) methods encounter accuracy and efficiency limitations. In this paper, we present the implementation of the LFI method robust optimization Monte Carlo (ROMC) in t...

Full description

Saved in:
Bibliographic Details
Main Authors: Vasilis Gkolemis, Michael Gutmann, Henri Pesonen
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2024-08-01
Series:Journal of Statistical Software
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/4678
Tags: Add Tag
No Tags, Be the first to tag this record!
_version_ 1850059014189088768
author Vasilis Gkolemis
Michael Gutmann
Henri Pesonen
author_facet Vasilis Gkolemis
Michael Gutmann
Henri Pesonen
author_sort Vasilis Gkolemis
collection DOAJ
description Performing inference in statistical models with an intractable likelihood is challenging, therefore, most likelihood-free inference (LFI) methods encounter accuracy and efficiency limitations. In this paper, we present the implementation of the LFI method robust optimization Monte Carlo (ROMC) in the Python package elfi. ROMC is a novel and efficient (highly-parallelizable) LFI framework that provides accurate weighted samples from the posterior. Our implementation can be used in two ways. First, a scientist may use it as an out-of-the-box LFI algorithm; we provide an easy-to-use API harmonized with the principles of elfi, enabling effortless comparisons with the rest of the methods included in the package. Additionally, we have carefully split ROMC into isolated components for supporting extensibility. A researcher may experiment with novel method(s) for solving part(s) of ROMC without reimplementing everything from scratch. In both scenarios, the ROMC parts can run in a fully-parallelized manner, exploiting all CPU cores. We also provide helpful functionalities for (i) inspecting the inference process and (ii) evaluating the obtained samples. Finally, we test the robustness of our implementation on some typical LFI examples.
format Article
id doaj-art-acacce36a20e4d22a77ed8d5e8db4208
institution DOAJ
issn 1548-7660
language English
publishDate 2024-08-01
publisher Foundation for Open Access Statistics
record_format Article
series Journal of Statistical Software
spelling doaj-art-acacce36a20e4d22a77ed8d5e8db42082025-08-20T02:51:00ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602024-08-01110110.18637/jss.v110.i02An Extendable Python Implementation of Robust Optimization Monte CarloVasilis Gkolemis0Michael Gutmann1Henri Pesonen2ATHENA RCUniversity of EdinburghUniversity of Oslo Performing inference in statistical models with an intractable likelihood is challenging, therefore, most likelihood-free inference (LFI) methods encounter accuracy and efficiency limitations. In this paper, we present the implementation of the LFI method robust optimization Monte Carlo (ROMC) in the Python package elfi. ROMC is a novel and efficient (highly-parallelizable) LFI framework that provides accurate weighted samples from the posterior. Our implementation can be used in two ways. First, a scientist may use it as an out-of-the-box LFI algorithm; we provide an easy-to-use API harmonized with the principles of elfi, enabling effortless comparisons with the rest of the methods included in the package. Additionally, we have carefully split ROMC into isolated components for supporting extensibility. A researcher may experiment with novel method(s) for solving part(s) of ROMC without reimplementing everything from scratch. In both scenarios, the ROMC parts can run in a fully-parallelized manner, exploiting all CPU cores. We also provide helpful functionalities for (i) inspecting the inference process and (ii) evaluating the obtained samples. Finally, we test the robustness of our implementation on some typical LFI examples. https://www.jstatsoft.org/index.php/jss/article/view/4678
spellingShingle Vasilis Gkolemis
Michael Gutmann
Henri Pesonen
An Extendable Python Implementation of Robust Optimization Monte Carlo
Journal of Statistical Software
title An Extendable Python Implementation of Robust Optimization Monte Carlo
title_full An Extendable Python Implementation of Robust Optimization Monte Carlo
title_fullStr An Extendable Python Implementation of Robust Optimization Monte Carlo
title_full_unstemmed An Extendable Python Implementation of Robust Optimization Monte Carlo
title_short An Extendable Python Implementation of Robust Optimization Monte Carlo
title_sort extendable python implementation of robust optimization monte carlo
url https://www.jstatsoft.org/index.php/jss/article/view/4678
work_keys_str_mv AT vasilisgkolemis anextendablepythonimplementationofrobustoptimizationmontecarlo
AT michaelgutmann anextendablepythonimplementationofrobustoptimizationmontecarlo
AT henripesonen anextendablepythonimplementationofrobustoptimizationmontecarlo
AT vasilisgkolemis extendablepythonimplementationofrobustoptimizationmontecarlo
AT michaelgutmann extendablepythonimplementationofrobustoptimizationmontecarlo
AT henripesonen extendablepythonimplementationofrobustoptimizationmontecarlo