Sparse, adaptive Smolyak quadratures for Bayesian inverse problems (Q2852289)

The authors propose a practical computational algorithm, based on the parametric deterministic formulation of Bayesian inverse problems with unknown input parameter from infinite-dimensional, separable Banach spaces. The convergence rates of the algorithm are provably higher than those of Monte Carlo and Markov chain Monte Carlo methods, in terms of the number of solutions of the forward problem. The authors design and implement a class of adaptive, deterministic sparse tensor Smolyak quadrature schemes for the efficient approximate numerical evaluation of expectations under the posterior given data. The proposed deterministic quadrature algorithm is based on a greedy iterative identification of finite sets of most significant ``active'' chaos polynomials in the posterior density. Convergence rates for the quadrature approximation are shown, both theoretically and computationally, to depend only on the sparsity class of the unknown, but are bounded independently of the number of random variables activated by the adaptive algorithm. Numerical examples confirm the theoretical results.