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

DOI10.1007/S10596-020-09947-4zbMATH Open1439.65004arXiv1903.06960OpenAlexW3011594197MaRDI QIDQ2192802FDOQ2192802

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

Publication date: 18 August 2020

Published in: Computational Geosciences (Search for Journal in Brave)

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.

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

Recommendations

• Analysis of a nonreversible Markov chain sampler.
• Markov chain Monte Carlo and irreversibility
• On the convergence time of some non-reversible Markov chain Monte Carlo methods
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Non-reversible Metropolis-Hastings

zbMATH Keywords

Markov chain Monte Carlo methodsnon-reversible Markov chainshigh-dimensional samplingsubsurface reservoir simulation

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
• Markov chain Monte Carlo and irreversibility
• Hypocoercivity
• Variance reduction for irreversible Langevin samplers and diffusion on graphs
• Irreversible Langevin samplers and variance reduction: a large deviations approach
• Variance reduction using nonreversible Langevin samplers
• Free energy computations. A mathematical perspective
• A function space HMC algorithm with second order Langevin diffusion limit
• Hybrid Monte Carlo on Hilbert spaces
• Calculating derivatives for automatic history matching
• Markov Chain Monte Carlo and Numerical Differential Equations
• Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

Cited In (6)

• Efficient Bayesian Computation for Low-Photon Imaging Problems
• Reversible algorithm of simulating multivariate densities with multi-hump
• Non-reversible processes: GENERIC, hypocoercivity and fluctuations
• Geometric Integration of Measure-Preserving Flows for Sampling
• Reversibility violation in the hybrid Monte Carlo algorithm
• Title not available (Why is that?)

Uses Software

• ECLIPSE

This page was built for publication: Reversible and non-reversible Markov chain Monte Carlo algorithms for reservoir simulation problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2192802)