Sequential Monte Carlo methods for Bayesian elliptic inverse problems
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Publication:5963776
DOI10.1007/S11222-015-9556-7zbMATH Open1331.65012arXiv1412.4459OpenAlexW1581736319MaRDI QIDQ5963776FDOQ5963776
Ege A. Muzaffer, Alexandros Beskos, A. M. Stuart, Ajay Jasra
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: In this article we consider a Bayesian inverse problem associated to elliptic partial differential equations (PDEs) in two and three dimensions. This class of inverse problems is important in applications such as hydrology, but the complexity of the link function between unknown field and measurements can make it difficult to draw inference from the associated posterior. We prove that for this inverse problem a basic SMC method has a Monte Carlo rate of convergence with constants which are independent of the dimension of the discretization of the problem; indeed convergence of the SMC method is established in a function space setting. We also develop an enhancement of the sequential Monte Carlo (SMC) methods for inverse problems which were introduced in cite{kantas}; the enhancement is designed to deal with the additional complexity of this elliptic inverse problem. The efficacy of the methodology, and its desirable theoretical properties, are demonstrated on numerical examples in both two and three dimensions.
Full work available at URL: https://arxiv.org/abs/1412.4459
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