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Preprints, Working Papers, ... Year : 2024

Diffusion posterior sampling for simulation-based inference in tall data settings

Abstract

Determining which parameters of a non-linear model could best describe a set of experimental data is a fundamental problem in Science and it has gained much traction lately with the rise of complex large-scale simulators (a.k.a. black-box simulators). The likelihood of such models is typically intractable, which is why classical MCMC methods can not be used. Simulation-based inference (SBI) stands out in this context by only requiring a dataset of simulations to train deep generative models capable of approximating the posterior distribution that relates input parameters to a given observation. In this work, we consider a tall data extension in which multiple observations are available and one wishes to leverage their shared information to better infer the parameters of the model. The method we propose is built upon recent developments from the flourishing score-based diffusion literature and allows us to estimate the tall data posterior distribution simply using information from the score network trained on individual observations. We compare our method to recently proposed competing approaches on various numerical experiments and demonstrate its superiority in terms of numerical stability and computational cost.
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Dates and versions

hal-04459545 , version 1 (15-02-2024)
hal-04459545 , version 2 (11-04-2024)
hal-04459545 , version 3 (07-06-2024)

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  • HAL Id : hal-04459545 , version 2

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Julia Linhart, Gabriel Victorino Cardoso, Alexandre Gramfort, Sylvain Le Corff, Pedro Luiz Coelho Rodrigues. Diffusion posterior sampling for simulation-based inference in tall data settings. 2024. ⟨hal-04459545v2⟩
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