Accelerating Markov chain Monte Carlo with active subspaces
From MaRDI portal
Abstract: The Markov chain Monte Carlo (MCMC) method is the computational workhorse for Bayesian inverse problems. However, MCMC struggles in high-dimensional parameter spaces, since its iterates must sequentially explore the high-dimensional space. This struggle is compounded in physical applications when the nonlinear forward model is computationally expensive. One approach to accelerate MCMC is to reduce the dimension of the state space. Active subspaces are part of an emerging set of tools for subspace-based dimension reduction. An active subspace in a given inverse problem indicates a separation between a low-dimensional subspace that is informed by the data and its orthogonal complement that is constrained by the prior. With this information, one can run the sequential MCMC on the active variables while sampling independently according to the prior on the inactive variables. However, this approach to increase efficiency may introduce bias. We provide a bound on the Hellinger distance between the true posterior and its active subspace- exploiting approximation. And we demonstrate the active subspace-accelerated MCMC on two computational examples: (i) a two-dimensional parameter space with a quadratic forward model and one-dimensional active subspace and (ii) a 100-dimensional parameter space with a PDE-based forward model and a two-dimensional active subspace.
Recommendations
- Alternating Subspace-Spanning Resampling to Accelerate Markov Chain Monte Carlo Simulation
- Speeding Up MCMC by Efficient Data Subsampling
- Speeding up MCMC by Delayed Acceptance and Data Subsampling
- A new strategy for speeding Markov chain Monte Carlo algorithms
- Accelerating Proximal Markov Chain Monte Carlo by Using an Explicit Stabilized Method
- scientific article; zbMATH DE number 6378055
- Multiple projection Markov chain Monte Carlo algorithms on submanifolds
Cites work
- A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
- Active subspace methods in theory and practice: applications to kriging surfaces
- Active subspaces. Emerging ideas for dimension reduction in parameter studies
- An inequality for the multivariate normal distribution
- Dimension-independent likelihood-informed MCMC
- Dimensionality reduction and polynomial chaos acceleration of Bayesian inference in inverse problems
- Discovering an active subspace in a single‐diode solar cell model
- Exploiting active subspaces to quantify uncertainty in the numerical simulation of the hyshot II scramjet
- Fast algorithms for Bayesian uncertainty quantification in large-scale linear inverse problems based on low-rank partial Hessian approximations
- Handbook of Markov Chain Monte Carlo
- scientific article; zbMATH DE number 6159604 (Why is no real title available?)
- Introduction to Bayesian Scientific Computing
- Inverse problems: a Bayesian perspective
- Likelihood-informed dimension reduction for nonlinear inverse problems
- Markov chain Monte Carlo: can we trust the third significant figure?
- On Choosing and Bounding Probability Metrics
- Optimal low-rank approximations of Bayesian linear inverse problems
- Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
- Sampling the posterior: an approach to non-Gaussian data assimilation
- Solving large-scale PDE-constrained Bayesian inverse problems with Riemann manifold Hamiltonian Monte Carlo
- Statistical and computational inverse problems.
Cited in
(35)- Geometric MCMC for infinite-dimensional inverse problems
- Bayesian inference of random fields represented with the Karhunen-Loève expansion
- Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
- Forward and backward uncertainty quantification with active subspaces: application to hypersonic flows around a cylinder
- Randomized approaches to accelerate MCMC algorithms for Bayesian inverse problems
- Rate-optimal refinement strategies for local approximation MCMC
- Generalized bounds for active subspaces
- Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo
- Simulator-free solution of high-dimensional stochastic elliptic partial differential equations using deep neural networks
- Efficient parameter estimation for a methane hydrate model with active subspaces
- A unified performance analysis of likelihood-informed subspace methods
- Accelerating Proximal Markov Chain Monte Carlo by Using an Explicit Stabilized Method
- Estimating a pressure dependent thermal conductivity coefficient with applications in food technology
- Functional Tucker approximation using Chebyshev interpolation
- Certified dimension reduction in nonlinear Bayesian inverse problems
- Multifidelity Dimension Reduction via Active Subspaces
- Speeding Up MCMC by Efficient Data Subsampling
- Data-free likelihood-informed dimension reduction of Bayesian inverse problems
- Adaptive group Lasso neural network models for functions of few variables and time-dependent data
- Scaling Up Bayesian Uncertainty Quantification for Inverse Problems Using Deep Neural Networks
- Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method
- Multiscale sampling for the inverse modeling of partial differential equations
- Residual-based error correction for neural operator accelerated Infinite-dimensional Bayesian inverse problems
- Multi‐fidelity data fusion through parameter space reduction with applications to automotive engineering
- Online MCMC Thinning with Kernelized Stein Discrepancy
- TNet: A Model-Constrained Tikhonov Network Approach for Inverse Problems
- Multilevel Delayed Acceptance MCMC
- Principal feature detection via -Sobolev inequalities
- Bayesian identifiability analysis for infectious disease models: parameter reduction and model selection
- Neural active manifolds: nonlinear dimensionality reduction for uncertainty quantification
- \texttt{TAEN}: a model-constrained Tikhonov autoencoder network for forward and inverse problems
- Derivative-informed neural operator acceleration of geometric MCMC for infinite-dimensional Bayesian inverse problems
- Discovering Active Subspaces for High-Dimensional Computer Models
- An adaptive and stability-promoting layerwise training approach for sparse deep neural network architecture
- Sequential Bayesian design for efficient surrogate construction in the inversion of Darcy flows
This page was built for publication: Accelerating Markov chain Monte Carlo with active subspaces
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2818262)
