Approximating Likelihood Ratios with Calibrated Discriminative Classifiers

Code

• github.com/diana-hep/carl
  OfficialIn papernone★ 56
• github.com/leonoravesterbacka/carl-torch
  pytorch★ 0

Abstract

In many fields of science, generalized likelihood ratio tests are established tools for statistical inference. At the same time, it has become increasingly common that a simulator (or generative model) is used to describe complex processes that tie parameters of an underlying theory and measurement apparatus to high-dimensional observations x R^p. However, simulator often do not provide a way to evaluate the likelihood function for a given observation x, which motivates a new class of likelihood-free inference algorithms. In this paper, we show that likelihood ratios are invariant under a specific class of dimensionality reduction maps R^p R. As a direct consequence, we show that discriminative classifiers can be used to approximate the generalized likelihood ratio statistic when only a generative model for the data is available. This leads to a new machine learning-based approach to likelihood-free inference that is complementary to Approximate Bayesian Computation, and which does not require a prior on the model parameters. Experimental results on artificial problems with known exact likelihoods illustrate the potential of the proposed method.

Tasks

Reproductions