Inverse problems and uncertainty quantification

Authors Alexander Litvinenko, Hermann G. Matthies

Publication date 18 December 2013

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random operators and equations (aspects of stochastic analysis) (60H25) Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Small-strain, rate-independent theories of plasticity (including rigid-plastic and elasto-plastic materials) (74C05) Inverse problems in equilibrium solid mechanics (74G75) Inverse problems in thermodynamics and heat transfer (80A23)

Abstract: In a Bayesian setting, inverse problems and uncertainty quantification (UQ) - the propagation of uncertainty through a computational (forward) model - are strongly connected. In the form of conditional expectation the Bayesian update becomes computationally attractive. This is especially the case as together with a functional or spectral approach for the forward UQ there is no need for time-consuming and slowly convergent Monte Carlo sampling. The developed sampling-free non-linear Bayesian update is derived from the variational problem associated with conditional expectation. This formulation in general calls for further discretisation to make the computation possible, and we choose a polynomial approximation. After giving details on the actual computation in the framework of functional or spectral approximations, we demonstrate the workings of the algorithm on a number of examples of increasing complexity. At last, we compare the linear and quadratic Bayesian update on the small but taxing example of the chaotic Lorenz 84 model, where we experiment with the influence of different observation or measurement operators on the update.

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