Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems

DOI10.1007/S10596-020-09947-4MaRDI QIDQ2192802zbMATH OpenOpenAlexFDO

Authors I. Fursov, M. Ottobre, Paul W. Dobson, Gabriel J. Lord

Publication date 18 August 2020

Published in Computational Geosciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1903.06960

zbMATH Keywords

high-dimensional samplingMarkov chain Monte Carlo methodsnon-reversible Markov chainssubsurface reservoir simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Potentials, prospecting (86A20)

Abstract: We compare numerically the performance of reversible and non-reversible Markov Chain Monte Carlo algorithms for high dimensional oil reservoir problems; because of the nature of the problem at hand, the target measures from which we sample are supported on bounded domains. We compare two strategies to deal with bounded domains, namely reflecting proposals off the boundary and rejecting them when they fall outside of the domain. We observe that for complex high dimensional problems reflection mechanisms outperform rejection approaches and that the advantage of introducing non-reversibility in the Markov Chain employed for sampling is more and more visible as the dimension of the parameter space increases.

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Cites work

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Cited in

(6)

• Reversible algorithm of simulating multivariate densities with multi-hump
• Geometric Integration of Measure-Preserving Flows for Sampling
• scientific article; zbMATH DE number 2222874 (Why is no real title available?)
• Non-reversible processes: GENERIC, hypocoercivity and fluctuations
• Reversibility violation in the hybrid Monte Carlo algorithm
• Efficient Bayesian Computation for Low-Photon Imaging Problems

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