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arXiv · 2405.08719

Addressing Misspecification in Simulation-based Inference through Data-driven Calibration

Antoine Wehenkel·Juan L. Gamella·Ozan Sener·Jens Behrmann·Guillermo Sapiro·Jörn-Henrik Jacobsen·Marco Cuturi
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Abstract

Driven by steady progress in deep generative modeling, simulation-based inference (SBI) has emerged as the workhorse for inferring the parameters of stochastic simulators. However, recent work has demonstrated that model misspecification can compromise the reliability of SBI, preventing its adoption in important applications where only misspecified simulators are available. This work introduces robust posterior estimation~(RoPE), a framework that overcomes model misspecification with a small real-world calibration set of ground-truth parameter measurements. We formalize the misspecification gap as the solution of an optimal transport~(OT) problem between learned representations of real-world and simulated observations, allowing RoPE to learn a model of the misspecification without placing additional assumptions on its nature. RoPE demonstrates how OT and a calibration set provide a controllable balance between calibrated uncertainty and informative inference, even under severely misspecified simulators. Results on four synthetic tasks and two real-world problems with ground-truth labels demonstrate that RoPE outperforms baselines and consistently returns informative and calibrated credible intervals.

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Antoine Wehenkel, Juan L. Gamella, Ozan Sener, Jens Behrmann, Guillermo Sapiro, Jörn-Henrik Jacobsen, Marco Cuturi. 2025-05-30. Addressing Misspecification in Simulation-based Inference through Data-driven Calibration. https://arxiv.org/abs/2405.08719

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