English

Fast post-process Bayesian inference with Variational Sparse Bayesian Quadrature

Machine Learning 2025-07-24 v4 Machine Learning Computation Methodology

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.

Keywords

Cite

@article{arxiv.2303.05263,
  title  = {Fast post-process Bayesian inference with Variational Sparse Bayesian Quadrature},
  author = {Chengkun Li and Grégoire Clarté and Martin Jørgensen and Luigi Acerbi},
  journal= {arXiv preprint arXiv:2303.05263},
  year   = {2025}
}

Comments

Accepted for publication in Statistics and Computing

R2 v1 2026-06-28T09:09:16.622Z