Optimal projection of observations in a Bayesian setting
From MaRDI portal
Publication:1662871
DOI10.1016/J.CSDA.2018.03.002zbMATH Open1469.62069arXiv1709.06606OpenAlexW2964333646WikidataQ130116180 ScholiaQ130116180MaRDI QIDQ1662871FDOQ1662871
O. Le Maître, L. Giraldi, Omar M. Knio, I. Hoteit
Publication date: 20 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: Optimal dimensionality reduction methods are proposed for the Bayesian inference of a Gaussian linear model with additive noise in presence of overabundant data. Three different optimal projections of the observations are proposed based on information theory: the projection that minimizes the Kullback-Leibler divergence between the posterior distributions of the original and the projected models, the one that minimizes the expected Kullback-Leibler divergence between the same distributions, and the one that maximizes the mutual information between the parameter of interest and the projected observations. The first two optimization problems are formulated as the determination of an optimal subspace and therefore the solution is computed using Riemannian optimization algorithms on the Grassmann manifold. Regarding the maximization of the mutual information, it is shown that there exists an optimal subspace that minimizes the entropy of the posterior distribution of the reduced model; a basis of the subspace can be computed as the solution to a generalized eigenvalue problem; an a priori error estimate on the mutual information is available for this particular solution; and that the dimensionality of the subspace to exactly conserve the mutual information between the input and the output of the models is less than the number of parameters to be inferred. Numerical applications to linear and nonlinear models are used to assess the efficiency of the proposed approaches, and to highlight their advantages compared to standard approaches based on the principal component analysis of the observations.
Full work available at URL: https://arxiv.org/abs/1709.06606
Recommendations
- scientific article; zbMATH DE number 2119842
- Goal-oriented optimal approximations of Bayesian linear inverse problems
- Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method
- Likelihood-informed dimension reduction for nonlinear inverse problems
- Model reduction of linear dynamical systems via balancing for Bayesian inference
Cites Work
- Algorithm AS 136: A K-Means Clustering Algorithm
- Pymanopt: a Python toolbox for optimization on manifolds using automatic differentiation
- Principal component analysis.
- Trust-region methods on Riemannian manifolds
- Accurate Approximations for Posterior Moments and Marginal Densities
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Random projections for Bayesian regression
- Approximation of boundary element matrices
- Title not available (Why is that?)
- An `empirical interpolation' method: Application to efficient reduced-basis discretization of partial differential equations
- Tensor Spaces and Numerical Tensor Calculus
- Characteristic Classes. (AM-76)
- A weighted empirical interpolation method: a priori convergence analysis and applications
- Spectral Methods for Uncertainty Quantification
- Riemannian geometry of Grassmann manifolds with a view on algorithmic computation
- Fast Monte Carlo Algorithms for Matrices I: Approximating Matrix Multiplication
- Likelihood-informed dimension reduction for nonlinear inverse problems
- Optimal Low-rank Approximations of Bayesian Linear Inverse Problems
- A Survey of Some Closed Methods for Inverting Matrices
- Bayesian inference of earthquake parameters from buoy data using a polynomial chaos-based surrogate
- Comparison of Some Reduced Representation Approximations
- Goal-Oriented Optimal Approximations of Bayesian Linear Inverse Problems
Cited In (3)
Uses Software
This page was built for publication: Optimal projection of observations in a Bayesian setting
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1662871)
