Amortized Inference for Correlated Discrete Choice Models via Equivariant Neural Networks
stat.ME, cs.LG, econ.EM
Submitted: 2026-03-25
Updated: 2026-09-07
License: http://creativecommons.org/licenses/by/4.0/
The gist: Discrete choice models are fundamental tools in management science, economics, and marketing for understanding and predicting decision-making.
Terminology
Abstract
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, they impose restrictive assumptions on the stochastic utility component, constraining our ability to capture realistic substitution patterns. We propose an amortized inference approach that relies on a neural network emulator to approximate choice probabilities for general error distributions, including those with correlated errors. We develop a specialized neural network architecture 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 for a psuedo-true parameter even with imperfect likelihood approximation. Simulations show significant gains over the GHK simulator in accuracy and speed.
Sources
- The generalized stochastic preference choice model
- Deep Learning for Choice Modeling
- The Use of Binary Choice Forests to Model and Estimate Discrete Choices
- Choice Models and Permutation Invariance: Demand Estimation in Differentiated Products Markets
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