A multiscale strategy for Bayesian inference using transport maps
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Publication:3179325
DOI10.1137/15M1032478zbMATH Open1356.62038arXiv1507.07024MaRDI QIDQ3179325FDOQ3179325
Authors: Matthew D. Parno, Tarek Moselhy, Youssef M. Marzouk 
Publication date: 21 December 2016
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Abstract: In many inverse problems, model parameters cannot be precisely determined from observational data. Bayesian inference provides a mechanism for capturing the resulting parameter uncertainty, but typically at a high computational cost. This work introduces a multiscale decomposition that exploits conditional independence across scales, when present in certain classes of inverse problems, to decouple Bayesian inference into two stages: (1) a computationally tractable coarse-scale inference problem; and (2) a mapping of the low-dimensional coarse-scale posterior distribution into the original high-dimensional parameter space. This decomposition relies on a characterization of the non-Gaussian joint distribution of coarse- and fine-scale quantities via optimal transport maps. We demonstrate our approach on a sequence of inverse problems arising in subsurface flow, using the multiscale finite element method to discretize the steady state pressure equation. We compare the multiscale strategy with full-dimensional Markov chain Monte Carlo on a problem of moderate dimension (100 parameters) and then use it to infer a conductivity field described by over 10,000 parameters.
Full work available at URL: https://arxiv.org/abs/1507.07024
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Markov chain Monte CarloBayesian inferenceinverse problemsoptimal transportationmultiscale modelingmultiscale finite element methodsubsurface flow
Bayesian inference (62F15) Applications of statistics to physics (62P35) Inverse problems in geophysics (86A22) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21)
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