Fast, accurate and lightweight sequential simulation-based inference using Gaussian locally linear mappings

Bayesian inference for complex models with an intractable likelihood can be tackled using algorithms performing many calls to computer simulators. These approaches are collectively known as "simulation-based inference" (SBI). Recent SBI methods have made use of neural networks (NN) to provide approximate, yet expressive constructs for the unavailable likelihood function and the posterior distribution. However, they do not generally achieve an optimal trade-off between accuracy and computational demand. In this work, we propose an alternative that provides both approximations to the likelihood and the posterior distribution, using structured mixtures of probability distributions. Our approach produces accurate posterior inference when compared to state-of-the-art NN-based SBI methods, while exhibiting a much smaller computational footprint. We illustrate our results on several benchmark models from the SBI literature.