Ensemble sampler for infinite-dimensional inverse problems

DOI10.1007/S11222-021-10004-YzbMATH Open1475.62024arXiv2010.15181OpenAlexW4287629002MaRDI QIDQ2058734FDOQ2058734

Robert J. Webber, Jeremie Coullon

Publication date: 9 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We introduce a new Markov chain Monte Carlo (MCMC) sampler for infinite-dimensional inverse problems. Our new sampler is based on the affine invariant ensemble sampler, which uses interacting walkers to adapt to the covariance structure of the target distribution. We extend this ensemble sampler for the first time to infinite-dimensional function spaces, yielding a highly efficient gradient-free MCMC algorithm. Because our new ensemble sampler does not require gradients or posterior covariance estimates, it is simple to implement and broadly applicable.

Full work available at URL: https://arxiv.org/abs/2010.15181

zbMATH Keywords

Markov chain Monte Carlodimensionality reductioninfinite-dimensional inverse problemsBayesian inverse problems

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Inverse problems for PDEs (35R30)

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Cited In (2)

• The use of transinformation in the design of data sampling schemes for inverse problems
• A two-stage Bayesian model updating framework based on an iterative model reduction technique using modal responses

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