An Acceleration Strategy for Randomize-Then-Optimize Sampling Via Deep Neural Networks
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Publication:5079536
Abstract: Randomize-then-optimize (RTO) is widely used for sampling from posterior distributions in Bayesian inverse problems. However, RTO may be computationally intensive for complexity problems due to repetitive evaluations of the expensive forward model and its gradient. In this work, we present a novel strategy to substantially reduce the computation burden of RTO by using a goal-oriented deep neural networks (DNN) surrogate approach. In particular, the training points for the DNN-surrogate are drawn from a local approximated posterior distribution, and it is shown that the resulting algorithm can provide a flexible and efficient sampling algorithm, which converges to the direct RTO approach. We present a Bayesian inverse problem governed by a benchmark elliptic PDE to demonstrate the computational accuracy and efficiency of our new algorithm (i.e., DNN-RTO). It is shown that with our algorithm, one can significantly outperform the traditional RTO.
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Cited in
(5)- Local antithetic sampling with scrambled nets
- Surrogate modeling for Bayesian inverse problems based on physics-informed neural networks
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- Adaptive operator learning for infinite-dimensional Bayesian inverse problems
- Scalable Optimization-Based Sampling on Function Space
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