Multilevel higher-order quasi-Monte Carlo Bayesian estimation

DOI10.1142/S021820251750021XzbMATH Open1375.65169arXiv1611.08324OpenAlexW2559327389MaRDI QIDQ2988720FDOQ2988720

Authors: Josef Dick, Robert Nicholas Gantner, Christoph Schwab, Q. T. Le Gia 

Publication date: 19 May 2017

Published in: M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)

Abstract: We propose and analyze deterministic multilevel approximations for Bayesian inversion of operator equations with uncertain distributed parameters, subject to additive Gaussian measurement data. The algorithms use a multilevel (ML) approach based on deterministic, higher order quasi-Monte Carlo (HoQMC) quadrature for approximating the high-dimensional expectations, which arise in the Bayesian estimators, and a Petrov-Galerkin (PG) method for approximating the solution to the underlying partial differential equation (PDE). This extends the previous single-level approach from [J. Dick, R. N. Gantner, Q. T. Le Gia and Ch. Schwab, Higher order Quasi-Monte Carlo integration for Bayesian Estimation. Report 2016-13, Seminar for Applied Mathematics, ETH Z"urich (in review)]. We obtain sufficient conditions which allow us to achieve arbitrarily high, algebraic convergence rates in terms of work, which are independent of the dimension of the parameter space. The convergence rates are limited only by the spatial regularity of the forward problem,the discretization order achieved by the Petrov Galerkin discretization, and by the sparsity of the uncertainty parametrization. We provide detailed numerical experiments for linear elliptic problems in two space dimensions, with $s=1024$ parameters characterizing the uncertain input, confirming the theory and showing that the ML HoQMC algorithms outperform, in terms of error vs.~computational work, both multilevel Monte Carlo (MLMC) methods and single-level (SL) HoQMC methods.

Full work available at URL: https://arxiv.org/abs/1611.08324

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zbMATH Keywords

convergenceuncertainty quantificationalgorithmerror analysisPetrov-Galerkin methodnumerical testsBayesian inverse problemsmultilevel approximationshigher-order quasi-Monte Carlo quadraturenon-linear parametric operator equations

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Stochastic particle methods (65C35) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Error bounds for boundary value problems involving PDEs (65N15)

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