Abstract
Likelihood-free Bayesian inference algorithms are popular methods for inferring the parameters of complex stochastic models with intractable likelihoods. These algorithms characteristically rely heavily on repeated model simulations. However, whenever the computational cost of simulation is even moderately expensive, the significant burden incurred by likelihood-free algorithms leaves them infeasible for many practical applications. The multifidelity approach has been introduced in the context of approximate Bayesian computation to reduce the simulation burden of likelihood-free inference without loss of accuracy, by using the information provided by simulating computationally cheap, approximate models in place of the model of interest. In this work we demonstrate that multifidelity techniques can be applied in the general likelihood-free Bayesian inference setting. Analytical results on the optimal allocation of computational resources to simulations at different levels of fidelity are derived, and subsequently implemented practically. We provide an adaptive multifidelity likelihood-free inference algorithm that learns the relationships between models at different fidelities and adapts resource allocation accordingly, and demonstrate that this algorithm produces posterior estimates with near-optimal efficiency.
•High-fidelity models can be calibrated with the help of low-fidelity approximations.•Multifidelity calibration can be achieved with no additional bias.•The allocation of simulation resources between fidelities can be tuned optimally.•We can adaptively learn the optimal allocation as simulations are completed.•We improve likelihood-free posterior sampling efficiency significantly.