Simulation-based parameter estimation via a combination of embedded normalizing flows and implied empirical probabilities under moment restrictions

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Original abstract

In this work, we present a simulation-based parameter estimation framework for a model defined by a computational simulation of a physical system. We specifically outline an estimation framework consisting of two closely-integrated steps that facilitate an overall end-to-end parameter estimation scheme. The first step involves utilizing an embedded normalizing flow which is used to transform the unknown complex distribution of the residual information into a simple base distribution corresponding to the transformed residual information. In the second step, an empirical-likelihood estimator, under moment restrictions, is utilized for imposing an indirect constrain on the base distribution, where such an instantiated task reasonably allows us to treat the transformed residual information as random variables arising from discretely distribution population with each transformed data point as a single-cell from a set of finite-cell contingencies. Moreover, we use first-order gradient methods for updating the estimated parameter values of the model defined by the computational simulation and the corresponding parametrized embedded normalizing flow, that call for all gradient-related information by leveraging implicitly differentiations of the empirical-likelihood function, which is constructed from the implied empirical probabilities under moment restrictions. Here, it is worth mentioning that the problem formulation presented in this work, which highlights an information-theoretic interpretation, allows to present a computational framework for algorithmic implementations. Finally, as a-by-product, the inverse of the parametrized embedded normalizing flow, w.r.t. the estimated parameter values, serves as a surrogate model for the computational simulation model, which provides useful information for quantifying model discrepancies and sensitivity analysis.

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• Official / arXiv page
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