Metropolis–Hastings via Classification
本文提出一种贝叶斯计算方法，将似然函数估计转化为分类问题，利用生成器和分类器得到似然比估计量并嵌入Metropolis–Hastings算法，从而在难以计算边际似然的模型中实现近似后验采样，并给出了渐近性质。
This article develops a Bayesian computational platform at the interface between posterior sampling and optimization in models whose marginal likelihoods are difficult to evaluate. Inspired by contrastive learning and Generative Adversarial Networks (GAN), we reframe the likelihood function estimation problem as a classification problem. Pitting a Generator, who simulates fake data, against a Classifier, who tries to distinguish them from the real data, one obtains likelihood (ratio) estimators which can be plugged into the Metropolis–Hastings algorithm. The resulting Markov chains generate, at a steady state, samples from an approximate posterior whose asymptotic properties we characterize. Drawing upon connections with empirical Bayes and Bayesian misspecification, we quantify the convergence rate in terms of the contraction speed of the actual posterior and the convergence rate of the Classifier. Asymptotic normality results are also provided which justify the inferential potential of our approach. We illustrate the usefulness of our approach on examples which have challenged for existing Bayesian likelihood-free approaches. Supplementary materials for this article are available online.