Approximate Bayesian model inversion for PDEs with heterogeneous and state-dependent coefficients
From MaRDI portal
Publication:2222341
Abstract: We present two approximate Bayesian inference methods for parameter estimation in partial differential equation (PDE) models with space-dependent and state-dependent parameters. We demonstrate that these methods provide accurate and cost-effective alternatives to Markov Chain Monte Carlo simulation. We assume a parameterized Gaussian prior on the unknown functions, and approximate the posterior density by a parameterized multivariate Gaussian density. The parameters of the prior and posterior are estimated from sparse observations of the PDE model's states and the unknown functions themselves by maximizing the evidence lower bound (ELBO), a lower bound on the log marginal likelihood of the observations. The first method, Laplace-EM, employs the expectation maximization algorithm to maximize the ELBO, with a Laplace approximation of the posterior on the E-step, and minimization of a Kullback-Leibler divergence on the M-step. The second method, DSVI-EB, employs the doubly stochastic variational inference (DSVI) algorithm, in which the ELBO is maximized via gradient-based stochastic optimization, with nosiy gradients computed via simple Monte Carlo sampling and Gaussian backpropagation. We apply these methods to identifying diffusion coefficients in linear and nonlinear diffusion equations, and we find that both methods provide accurate estimates of posterior densities and the hyperparameters of Gaussian priors. While the Laplace-EM method is more accurate, it requires computing Hessians of the physics model. The DSVI-EB method is found to be less accurate but only requires gradients of the physics model.
Recommendations
- Variational Bayes' Method for Functions with Applications to Some Inverse Problems
- Variational Bayesian approximation of inverse problems using sparse precision matrices
- A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions
- Bayesian numerical methods for nonlinear partial differential equations
- Stein variational reduced basis Bayesian inversion
Cites work
- scientific article; zbMATH DE number 1222290 (Why is no real title available?)
- A regularizing Levenberg - Marquardt scheme, with applications to inverse groundwater filtration problems
- A variational Bayesian approach for inverse problems with skew-\(t\) error distributions
- Automatic differentiation variational inference
- Bayesian and variational Bayesian approaches for flows in heterogeneous random media
- Data Assimilation
- Ensemble samplers with affine invariance
- Gaussian Kullback-Leibler approximate inference
- Hierarchical Bayesian inference for ill-posed problems via variational method
- Improved Laplace approximation for marginal likelihoods
- Inverse problems: a Bayesian perspective
- Machine learning of linear differential equations using Gaussian processes
- Numerical Gaussian processes for time-dependent and nonlinear partial differential equations
- Pattern recognition and machine learning.
- Simple statistical gradient-following algorithms for connectionist reinforcement learning
- Sparse variational Bayesian approximations for nonlinear inverse problems: applications in nonlinear elastography
- The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
Cited in
(17)- A hierarchical Bayesian setting for an inverse problem in linear parabolic PDEs with noisy boundary conditions
- A MCMC method based on surrogate model and Gaussian process parameterization for infinite Bayesian PDE inversion
- On-the-fly construction of surrogate constitutive models for concurrent multiscale mechanical analysis through probabilistic machine learning
- Variational Bayesian approximation of inverse problems using sparse precision matrices
- On Bayesian data assimilation for PDEs with ill-posed forward problems
- Proper Generalized Decomposition model reduction in the Bayesian framework for solving inverse heat transfer problems
- Parameter inference based on Gaussian processes informed by nonlinear partial differential equations
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Learning and meta-learning of stochastic advection–diffusion–reaction systems from sparse measurements
- Reduced-order model-based variational inference with normalizing flows for Bayesian elliptic inverse problems
- Variational inference at glacier scale
- VI-DGP: a variational inference method with deep generative prior for solving high-dimensional inverse problems
- Physics-informed machine learning with conditional Karhunen-Loève expansions
- Data-driven learning of differential equations: combining data and model uncertainty
- A new network approach to Bayesian inference in partial differential equations
- Physics-informed Karhunen-Loéve and neural network approximations for solving inverse differential equation problems
- Approximation of Bayesian Inverse Problems for PDEs
This page was built for publication: Approximate Bayesian model inversion for PDEs with heterogeneous and state-dependent coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2222341)
