On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference

DOI10.1016/J.JCP.2016.11.024MaRDI QIDQ680134zbMATH OpenOpenAlexFDO

Authors Zixi Hu, Zhewei Yao, Jinglai Li

Publication date 22 January 2018

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.05838

zbMATH Keywords

Bayesian inferenceadaptive Markov chain Monte Carloinfinite dimensional inverse problems

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inverse problems involving ordinary differential equations (34A55) Inverse problems for PDEs (35R30)

Abstract: Many scientific and engineering problems require to perform Bayesian inferences for unknowns of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary slow under the mesh refinement, which is referred to as being dimension dependent. To this end, a family of dimensional independent MCMC algorithms, known as the preconditioned Crank-Nicolson (pCN) methods, were proposed to sample the infinite dimensional parameters. In this work we develop an adaptive version of the pCN algorithm, where the covariance operator of the proposal distribution is adjusted based on sampling history to improve the simulation efficiency. We show that the proposed algorithm satisfies an important ergodicity condition under some mild assumptions. Finally we provide numerical examples to demonstrate the performance of the proposed method.

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Cited in

(9)

• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Ensemble sampler for infinite-dimensional inverse problems
• Non-stationary multi-layered Gaussian priors for Bayesian inversion
• A numerical method for solving linear systems in the preconditioned Crank-Nicolson algorithm
• On a generalization of the preconditioned Crank-Nicolson metropolis algorithm
• Geometric MCMC for infinite-dimensional inverse problems
• A hybrid adaptive MCMC algorithm in function spaces
• Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling
• Parallel MCMC algorithms: theoretical foundations, algorithm design, case studies

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