GPS-ABC swMATH ID: 16117 Software Authors: Edward Meeds, Max Welling Description: GPS-ABC: Gaussian Process Surrogate Approximate Bayesian Computation. Scientists often express their understanding of the world through a computationally demanding simulation program. Analyzing the posterior distribution of the parameters given observations (the inverse problem) can be extremely challenging. The Approximate Bayesian Computation (ABC) framework is the standard statistical tool to handle these likelihood free problems, but they require a very large number of simulations. In this work we develop two new ABC sampling algorithms that significantly reduce the number of simulations necessary for posterior inference. Both algorithms use confidence estimates for the accept probability in the Metropolis Hastings step to adaptively choose the number of necessary simulations. Our GPS-ABC algorithm stores the information obtained from every simulation in a Gaussian process which acts as a surrogate function for the simulated statistics. Experiments on a challenging realistic biological problem illustrate the potential of these algorithms. Homepage: http://arxiv.org/abs/1401.2838 Related Software: R; Spearmint; abc; abcrf; GPstuff; epiABC; AABC; Rcpp; DiceOptim; DiceKriging; ergm; metric-learn; ABCpy; FaceNet; FRK; PottsUtils; bayesImageS; Stan; RcppArmadillo; COIL-100 Cited in: 18 Publications all top 5 Cited by 48 Authors 4 Gutmann, Michael U. 3 Drovandi, Christopher C. 3 Järvenpää, Marko 3 Marttinen, Pekka 3 Vehtari, Aki 2 Moores, Matthew T. 2 Nott, David John 2 Ong, Victor M. H. 2 Sisson, Scott A. 2 Tran, Minh Ngoc 1 Andrianakis, Ioannis 1 Boys, Richard J. 1 Bravington, Mark V. 1 Chopard, Bastien 1 Corander, Jukka 1 Dai, Zhenwen 1 Dutta, Ritabrata 1 Fasiolo, Matteo 1 Gasthaus, Jan 1 Gretton, Arthur 1 Haran, Murali 1 Hartig, Florian 1 Hepler, Staci A. 1 Herbei, Radu 1 Karabatsos, George 1 Künzli, Pierre 1 Leisen, Fabrizio 1 Lücke, Jörg 1 McCreesh, Nicky 1 McKinley, Trevelyan J. 1 Mengersen, Kerrie L. 1 Nicholls, Geoff K. 1 Nsubuga, Rebecca N. 1 Oakley, Jeremy E. 1 Pacchiardi, Lorenzo 1 Park, Jaewoo 1 Pettitt, Anthony N. 1 Pleska, Arijus 1 Prangle, Dennis 1 Schöngens, Marcel 1 Shahbaba, Babak 1 Shelton, Jacquelyn A. 1 Spiliopoulos, Konstantinos V. 1 Vernon, Ian 1 White, Richard G. 1 Wood, Simon N. 1 Zhang, Cheng 1 Zhao, Hongkai all top 5 Cited in 13 Serials 3 Statistics and Computing 3 Bayesian Analysis 2 Computational Statistics and Data Analysis 1 Statistical Science 1 Neural Computation 1 Journal of Statistical Computation and Simulation 1 Journal of Machine Learning Research (JMLR) 1 Electronic Journal of Statistics 1 The Annals of Applied Statistics 1 Statistics Surveys 1 Journal of Computational and Graphical Statistics 1 Sankhyā. Series B 1 SIAM/ASA Journal on Uncertainty Quantification all top 5 Cited in 6 Fields 18 Statistics (62-XX) 5 Probability theory and stochastic processes (60-XX) 4 Numerical analysis (65-XX) 3 Computer science (68-XX) 2 Biology and other natural sciences (92-XX) 1 Geophysics (86-XX) Citations by Year