This tutorial is generated from a Jupyter notebook that can be found here.

# BOLFI¶

In practice inference problems often have a complicated and computationally heavy simulator, and one simply cannot run it for millions of times. The Bayesian Optimization for Likelihood-Free Inference BOLFI framework is likely to prove useful in such situation: a statistical model (usually Gaussian process, GP) is created for the discrepancy, and its minimum is inferred with Bayesian optimization. This approach typically reduces the number of required simulator calls by several orders of magnitude.

This tutorial demonstrates how to use BOLFI to do LFI in ELFI.

```
import numpy as np
import scipy.stats
import matplotlib
import matplotlib.pyplot as plt
%matplotlib inline
%precision 2
import logging
logging.basicConfig(level=logging.INFO)
# Set an arbitrary global seed to keep the randomly generated quantities the same
seed = 1
np.random.seed(seed)
import elfi
```

Although BOLFI is best used with complicated simulators, for demonstration purposes we will use the familiar MA2 model introduced in the basic tutorial, and load it from ready-made examples:

```
from elfi.examples import ma2
model = ma2.get_model(seed_obs=seed)
elfi.draw(model)
```

## Fitting the surrogate model¶

Now we can immediately proceed with the inference. However, when dealing with a Gaussian process, it may be beneficial to take a logarithm of the discrepancies in order to reduce the effect that high discrepancies have on the GP. (Sometimes you may want to add a small constant to avoid very negative or even -Inf distances occurring especially if it is likely that there can be exact matches between simulated and observed data.) In ELFI such transformed node can be created easily:

```
log_d = elfi.Operation(np.log, model['d'])
```

As BOLFI is a more advanced inference method, its interface is also a
bit more involved as compared to for example rejection sampling. But not
much: Using the same graphical model as earlier, the inference could
begin by defining a Gaussian process (GP) model, for which ELFI uses the
GPy library. This could be
given as an `elfi.GPyRegression`

object via the keyword argument
`target_model`

. In this case, we are happy with the default that ELFI
creates for us when we just give it each parameter some `bounds`

as a
dictionary.

Other notable arguments include the `initial_evidence`

, which gives
the number of initialization points sampled straight from the priors
before starting to optimize the acquisition of points,
`update_interval`

which defines how often the GP hyperparameters are
optimized, and `acq_noise_var`

which defines the diagonal covariance
of noise added to the acquired points. Note that in general BOLFI does
not benefit from a `batch_size`

higher than one, since the acquisition
surface is updated after each batch (especially so if the noise is 0!).

```
bolfi = elfi.BOLFI(log_d, batch_size=1, initial_evidence=20, update_interval=10,
bounds={'t1':(-2, 2), 't2':(-1, 1)}, acq_noise_var=[0.1, 0.1], seed=seed)
```

Sometimes you may have some samples readily available. You could then
initialize the GP model with a dictionary of previous results by giving
`initial_evidence=result.outputs`

.

The BOLFI class can now try to `fit`

the surrogate model (the GP) to
the relationship between parameter values and the resulting
discrepancies. We’ll request only 100 evidence points (including the
`initial_evidence`

defined above).

```
%time post = bolfi.fit(n_evidence=200)
```

```
INFO:elfi.methods.parameter_inference:BOLFI: Fitting the surrogate model...
INFO:elfi.methods.posteriors:Using optimized minimum value (-1.6146) of the GP discrepancy mean function as a threshold
```

```
CPU times: user 1min 48s, sys: 1.29 s, total: 1min 50s
Wall time: 1min
```

(More on the returned `BolfiPosterior`

object
below.)

Note that in spite of the very few simulator runs, fitting the model took longer than any of the previous methods. Indeed, BOLFI is intended for scenarios where the simulator takes a lot of time to run.

The fitted `target_model`

uses the GPy library, and can be
investigated further:

```
bolfi.target_model
```

```
Name : GP regression
Objective : 151.86636065302943
Number of Parameters : 4
Number of Optimization Parameters : 4
Updates : True
Parameters:
[1mGP_regression. [0;0m | value | constraints | priors
[1msum.rbf.variance [0;0m | 0.321697451372 | +ve | Ga(0.024, 1)
[1msum.rbf.lengthscale [0;0m | 0.541352150083 | +ve | Ga(1.3, 1)
[1msum.bias.variance [0;0m | 0.021827430988 | +ve | Ga(0.006, 1)
[1mGaussian_noise.variance[0;0m | 0.183562040169 | +ve |
```

```
bolfi.plot_state();
```

```
<matplotlib.figure.Figure at 0x11b2b2ba8>
```

It may be useful to see the acquired parameter values and the resulting discrepancies:

```
bolfi.plot_discrepancy();
```

There could be an unnecessarily high number of points at parameter
bounds. These could probably be decreased by lowering the covariance of
the noise added to acquired points, defined by the optional
`acq_noise_var`

argument for the BOLFI constructor. Another
possibility could be to add virtual derivative observations at the
borders, though not yet
implemented in ELFI.

## BOLFI Posterior¶

Above, the `fit`

method returned a `BolfiPosterior`

object
representing a BOLFI posterior (please see the
paper for
details). The `fit`

method accepts a threshold parameter; if none is
given, ELFI will use the minimum value of discrepancy estimate mean.
Afterwards, one may request for a posterior with a different threshold:

```
post2 = bolfi.extract_posterior(-1.)
```

One can visualize a posterior directly (remember that the priors form a triangle):

```
post.plot(logpdf=True)
```

## Sampling¶

Finally, samples from the posterior can be acquired with an MCMC
sampler. By default it runs 4 chains, and half of the requested samples
are spent in adaptation/warmup. Note that depending on the smoothness of
the GP approximation, the number of priors, their gradients etc., **this
may be slow**.

```
%time result_BOLFI = bolfi.sample(1000, info_freq=1000)
```

```
INFO:elfi.methods.posteriors:Using optimized minimum value (-1.6146) of the GP discrepancy mean function as a threshold
INFO:elfi.methods.mcmc:NUTS: Performing 1000 iterations with 500 adaptation steps.
INFO:elfi.methods.mcmc:NUTS: Adaptation/warmup finished. Sampling...
INFO:elfi.methods.mcmc:NUTS: Acceptance ratio: 0.423. After warmup 68 proposals were outside of the region allowed by priors and rejected, decreasing acceptance ratio.
INFO:elfi.methods.mcmc:NUTS: Performing 1000 iterations with 500 adaptation steps.
INFO:elfi.methods.mcmc:NUTS: Adaptation/warmup finished. Sampling...
INFO:elfi.methods.mcmc:NUTS: Acceptance ratio: 0.422. After warmup 71 proposals were outside of the region allowed by priors and rejected, decreasing acceptance ratio.
INFO:elfi.methods.mcmc:NUTS: Performing 1000 iterations with 500 adaptation steps.
INFO:elfi.methods.mcmc:NUTS: Adaptation/warmup finished. Sampling...
INFO:elfi.methods.mcmc:NUTS: Acceptance ratio: 0.419. After warmup 65 proposals were outside of the region allowed by priors and rejected, decreasing acceptance ratio.
INFO:elfi.methods.mcmc:NUTS: Performing 1000 iterations with 500 adaptation steps.
INFO:elfi.methods.mcmc:NUTS: Adaptation/warmup finished. Sampling...
INFO:elfi.methods.mcmc:NUTS: Acceptance ratio: 0.439. After warmup 66 proposals were outside of the region allowed by priors and rejected, decreasing acceptance ratio.
```

```
4 chains of 1000 iterations acquired. Effective sample size and Rhat for each parameter:
t1 2222.1197791 1.00106816947
t2 2256.93599184 1.0003364409
CPU times: user 1min 45s, sys: 1.29 s, total: 1min 47s
Wall time: 55.1 s
```

The sampling algorithms may be fine-tuned with some parameters. The
default
No-U-Turn-Sampler
is a sophisticated algorithm, and in some cases one may get warnings
about diverged proposals, which are signs that something may be wrong
and should be
investigated.
It is good to understand the cause of these warnings although they don’t
automatically mean that the results are unreliable. You could try
rerunning the `sample`

method with a higher target probability
`target_prob`

during adaptation, as its default 0.6 may be inadequate
for a non-smooth posteriors, but this will slow down the sampling.

Note also that since MCMC proposals outside the region allowed by either the model priors or GP bounds are rejected, a tight domain may lead to suboptimal overall acceptance ratio. In our MA2 case the prior defines a triangle-shaped uniform support for the posterior, making it a good example of a difficult model for the NUTS algorithm.

Now we finally have a `Sample`

object again, which has several
convenience methods:

```
result_BOLFI
```

```
Method: BOLFI
Number of samples: 2000
Number of simulations: 200
Threshold: -1.61
Sample means: t1: 0.429, t2: 0.0277
```

```
result_BOLFI.plot_traces();
```

The black vertical lines indicate the end of warmup, which by default is half of the number of iterations.

```
result_BOLFI.plot_marginals();
```