Accelerating Markov chain Monte Carlo with active subspaces
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Publication:2818262
DOI10.1137/15M1042127zbMATH Open1348.65010arXiv1510.00024MaRDI QIDQ2818262FDOQ2818262
Authors: P. Constantine, Carson Kent, Tan Bui-Thanh 
Publication date: 7 September 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: The Markov chain Monte Carlo (MCMC) method is the computational workhorse for Bayesian inverse problems. However, MCMC struggles in high-dimensional parameter spaces, since its iterates must sequentially explore the high-dimensional space. This struggle is compounded in physical applications when the nonlinear forward model is computationally expensive. One approach to accelerate MCMC is to reduce the dimension of the state space. Active subspaces are part of an emerging set of tools for subspace-based dimension reduction. An active subspace in a given inverse problem indicates a separation between a low-dimensional subspace that is informed by the data and its orthogonal complement that is constrained by the prior. With this information, one can run the sequential MCMC on the active variables while sampling independently according to the prior on the inactive variables. However, this approach to increase efficiency may introduce bias. We provide a bound on the Hellinger distance between the true posterior and its active subspace- exploiting approximation. And we demonstrate the active subspace-accelerated MCMC on two computational examples: (i) a two-dimensional parameter space with a quadratic forward model and one-dimensional active subspace and (ii) a 100-dimensional parameter space with a PDE-based forward model and a two-dimensional active subspace.
Full work available at URL: https://arxiv.org/abs/1510.00024
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dimension reductionMarkov chain Monte Carlo methodnumerical exampleactive subspacesBayesian inverse problems
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Bayesian problems; characterization of Bayes procedures (62C10)
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Cited In (28)
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