用神经网络加速相关离散选择模型推断,提升精度与速度。
Amortized Inference for Correlated Discrete Choice Models via Equivariant Neural Networks
- 设计等变神经网络架构,保持选择模型的不变性特性。
- 训练后可快速计算似然和梯度,比GHK模拟快数倍且更准。
- 适合需要高效建模复杂替代关系的经济与管理研究者。
离散选择模型是管理科学、经济学和营销中理解与预测决策行为的基础工具。主流的对数几率模型虽因选择概率具有闭式表达而广泛应用,但其对随机效用成分的假设过于严格,限制了对真实替代模式的捕捉。本文提出一种基于神经网络代理模型的摊销推断方法,可逼近任意误差分布下的选择概率,包括具有相关误差的情形。方法包含专为保持离散选择模型对称性而设计的神经网络架构及配套训练流程,提供群论基础并证明在最小不变特征集下具备通用近似能力。训练完成后,代理模型可实现快速似然评估与梯度计算。采用Sobolev训练,通过梯度匹配正则项增强损失函数,使代理模型同时学习选择概率及其导数。理论证明,在弱近似条件下,基于代理模型的最大似然估计具有一致性和渐近正态性,并给出即使近似不完美也有效的沙维奇标准误。仿真结果显示,该方法在准确性和速度上显著优于GHK模拟。
原文摘要 · Abstract (English)
Discrete choice models are fundamental tools in management science, economics, and marketing for understanding and predicting decision-making. Logit-based models are dominant in applied work, largely due to their convenient closed-form expressions for choice probabilities. However, these models entail restrictive assumptions on the stochastic utility component, constraining our ability to capture realistic and theoretically grounded choice behavior$-$most notably, substitution patterns. In this work, we propose an amortized inference approach using a neural network emulator to approximate choice probabilities for general error distributions, including those with correlated errors. Our proposal includes a specialized neural network architecture and accompanying training procedures designed to respect the invariance properties of discrete choice models. We provide group-theoretic foundations for the architecture, including a proof of universal approximation given a minimal set of invariant features. Once trained, the emulator enables rapid likelihood evaluation and gradient computation. We use Sobolev training, augmenting the likelihood loss with a gradient-matching penalty so that the emulator learns both choice probabilities and their derivatives. We show that emulator-based maximum likelihood estimators are consistent and asymptotically normal under mild approximation conditions, and we provide sandwich standard errors that remain valid even with imperfect likelihood approximation. Simulations show significant gains over the GHK simulator in accuracy and speed.
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