Multilevel sequential Monte Carlo for Bayesian inverse problems

DOI10.1016/J.JCP.2018.04.014MaRDI QIDQ725440zbMATHOpenAlexWikidataFDO

Authors Jonas Latz, Iason Papaioannou, Elisabeth Ullmann

Publication date 1 August 2018

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

Full work available at URL https://arxiv.org/abs/1709.09763

zbMATH Keywords

particle filteruncertainty quantificationfinite element methodsequential importance samplingpartial differential equationtempering

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Bayesian problems; characterization of Bayes procedures (62C10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) PDEs in connection with geophysics (35Q86)

Abstract: The identification of parameters in mathematical models using noisy observations is a common task in uncertainty quantification. We employ the framework of Bayesian inversion: we combine monitoring and observational data with prior information to estimate the posterior distribution of a parameter. Specifically, we are interested in the distribution of a diffusion coefficient of an elliptic PDE. In this setting, the sample space is high-dimensional, and each sample of the PDE solution is expensive. To address these issues we propose and analyse a novel Sequential Monte Carlo (SMC) sampler for the approximation of the posterior distribution. Classical, single-level SMC constructs a sequence of measures, starting with the prior distribution, and finishing with the posterior distribution. The intermediate measures arise from a tempering of the likelihood, or, equivalently, a rescaling of the noise. The resolution of the PDE discretisation is fixed. In contrast, our estimator employs a hierarchy of PDE discretisations to decrease the computational cost. We construct a sequence of intermediate measures by decreasing the temperature or by increasing the discretisation level at the same time. This idea builds on and generalises the multi-resolution sampler proposed in [P.S. Koutsourelakis, J. Comput. Phys., 228 (2009), pp. 6184-6211] where a bridging scheme is used to transfer samples from coarse to fine discretisation levels. Importantly, our choice between tempering and bridging is fully adaptive. We present numerical experiments in 2D space, comparing our estimator to single-level SMC and the multi-resolution sampler.

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Cited in

(28)

• Generalized parallel tempering on Bayesian inverse problems
• Multilevel higher-order quasi-Monte Carlo Bayesian estimation
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