Robust Optimisation Monte Carlo
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This paper is on Bayesian inference for parametric statistical models that are implicitly defined by a stochastic simulator which specifies how data is generated. While exact sampling is possible, evaluating the likelihood function is typically prohibitively expensive. Approximate Bayesian Computation (ABC) is a framework to perform approximate inference in such situations. While basic ABC algorithms are widely applicable, they are notoriously slow and much research has focused on increasing their efficiency. Optimisation Monte Carlo (OMC) has recently been proposed as an efficient and embarrassingly parallel method that leverages optimisation to accelerate the inference. In this paper, we demonstrate a previously unrecognised important failure mode of OMC: It generates strongly overconfident approximations by collapsing regions of similar or near-constant posterior density into a single point. We propose an efficient, robust generalisation of OMC that corrects this. It makes fewer assumptions, retains the main benefits of OMC, and can be performed either as part of OMC or entirely as post-processing. We demonstrate the effectiveness of the proposed Robust OMC on toy examples and tasks in inverse-graphics where we perform Bayesian inference with a complex image renderer.
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