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...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2024-08-01
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| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4678 |
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| author | Vasilis Gkolemis Michael Gutmann Henri Pesonen |
| author_facet | Vasilis Gkolemis Michael Gutmann Henri Pesonen |
| author_sort | Vasilis Gkolemis |
| collection | DOAJ |
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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.
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| 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 |
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