Differentiable Likelihoods for Fast Inversion of ’Likelihood-Free’ Dynamical Systems

Abstract

Likelihood-free (a.k.a. simulation-based) inference problems are inverse problems with expensive, or intractable, forward models. ODE inverse problems are commonly treated as likelihood-free, as their forward map has to be numerically approximated by an ODE solver. This, however, is not a fundamental constraint but just a lack of functionality in classic ODE solvers, which do not return a likelihood but a point estimate. To address this shortcoming, we employ Gaussian ODE filtering (a probabilistic numerical method for ODEs) to construct a local Gaussian approximation to the likelihood. This approximation yields tractable estimators for the gradient and Hessian of the (log-) likelihood. Insertion of these estimators into existing gradient-based optimization and sampling methods engenders new solvers for ODE inverse problems. We demonstrate that these methods outperform standard likelihood-free approaches on three benchmark-systems.

Date
Jul 14, 2020 10:00 AM
Location
ICML, virtual
Hans Kersting
Hans Kersting
Postdoctoral Researcher

My research interests include Bayesian inference, dynamical systems, and optimization.

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