Simulation-Efficient Double-Flow Neural Posterior Estimation for Agent-Based Models

Neural posterior estimation (NPE) enables Bayesian inference of the posterior parameter in agent-based models (ABMs) with intractable likelihoods, but simulating training data can be computationally expensive. We propose Double-Flow Neural Posterior Estimation (DF-NPE), which combines learned time-series summaries with two conditional normalizing flows for synthetic-data generation and posterior estimation. The framework supplements direct simulations with synthetic training pairs and supports both pooled and ordered training strategies. Experiments in two settings of the Brock-Hommes asset-pricing model show that DF-NPE can reduce direct simulations by 90 percent while achieving lower mean posterior discrepancies and runtime than standard NPE. Performance varies with the allocation of directly simulated and synthetic data and the training strategy. These results establish learned summary augmentation as a practical approach to reducing simulation costs for Bayesian posterior inference of parameters in ABMs.

Authors

Publication Details

Journal
arXiv (Cornell University)
Published
2026-10-26
DOI
https://doi.org/10.48550/arxiv.2610.35442
Primary Topic
Markov Chains and Monte Carlo Methods
Type
preprint
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preprint

Simulation-Efficient Double-Flow Neural Posterior Estimation for Agent-Based Models

Junyao Zhang, Jinglai Li, Junqi Tang
arXiv (Cornell University)
Markov Chains and Monte Carlo Methods
preprint

Simulation-Efficient Double-Flow Neural Posterior Estimation for Agent-Based Models

Junyao Zhang, Jinglai Li, Junqi Tang
preprint en

Abstract

Neural posterior estimation (NPE) enables Bayesian inference of the posterior parameter in agent-based models (ABMs) with intractable likelihoods, but simulating training data can be computationally expensive. We propose Double-Flow Neural Posterior Estimation (DF-NPE), which combines learned time-series summaries with two conditional normalizing flows for synthetic-data generation and posterior estimation. The framework supplements direct simulations with synthetic training pairs and supports both pooled and ordered training strategies. Experiments in two settings of the Brock-Hommes asset-pricing model show that DF-NPE can reduce direct simulations by 90 percent while achieving lower mean posterior discrepancies and runtime than standard NPE. Performance varies with the allocation of directly simulated and synthetic data and the training strategy. These results establish learned summary augmentation as a practical approach to reducing simulation costs for Bayesian posterior inference of parameters in ABMs.

arXiv (Cornell University)
Markov Chains and Monte Carlo Methods
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Simulation-Efficient Double-Flow Neural Posterior Estimation for Agent-Based Models — Junyao Zhang, Jinglai Li, et al. · arXiv (Cornell University) (2026) | TGRS Research Map | TGRS