Fast post-process Bayesian inference with Variational Sparse Bayesian Quadrature

Abstract: In applied Bayesian inference scenarios, users may have access to a large number of pre-existing model evaluations, for example from maximum-a-posteriori (MAP) optimization runs. However, traditional approximate inference techniques make little to no use of this available information. We propose the framework of post-process Bayesian inference as a means to obtain a quick posterior approximation from existing target density evaluations, with no further model calls. Within this framework, we introduce Variational Sparse Bayesian Quadrature (VSBQ), a method for post-process approximate inference for models with black-box and potentially noisy likelihoods. VSBQ reuses existing target density evaluations to build a sparse Gaussian process (GP) surrogate model of the log posterior density function. Subsequently, we leverage sparse-GP Bayesian quadrature combined with variational inference to achieve fast approximate posterior inference over the surrogate. We validate our method on challenging synthetic scenarios and real-world applications from computational neuroscience. The experiments show that VSBQ builds high-quality posterior approximations by post-processing existing optimization traces, with no further model evaluations.