Emulation of higher-order tensors in manifold Monte Carlo methods for Bayesian inverse problems

DOI10.1016/J.JCP.2015.12.032zbMATH Open1352.65010arXiv1507.06244OpenAlexW2219657383MaRDI QIDQ729447FDOQ729447

Authors: Shiwei Lan, Tan Bui-Thanh, Mike Christie, M. Girolami 

Publication date: 20 December 2016

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

Abstract: The Bayesian approach to Inverse Problems relies predominantly on Markov Chain Monte Carlo methods for posterior inference. The typical nonlinear concentration of posterior measure observed in many such Inverse Problems presents severe challenges to existing simulation based inference methods. Motivated by these challenges the exploitation of local geometric information in the form of covariant gradients, metric tensors, Levi-Civita connections, and local geodesic flows, have been introduced to more effectively locally explore the configuration space of the posterior measure. However, obtaining such geometric quantities usually requires extensive computational effort and despite their effectiveness affect the applicability of these geometrically-based Monte Carlo methods. In this paper we explore one way to address this issue by the construction of an emulator of the model from which all geometric objects can be obtained in a much more computationally feasible manner. The main concept is to approximate the geometric quantities using a Gaussian Process emulator which is conditioned on a carefully chosen design set of configuration points, which also determines the quality of the emulator. To this end we propose the use of statistical experiment design methods to refine a potentially arbitrarily initialized design online without destroying the convergence of the resulting Markov chain to the desired invariant measure. The practical examples considered in this paper provide a demonstration of the significant improvement possible in terms of computational loading suggesting this is a promising avenue of further development.

Full work available at URL: https://arxiv.org/abs/1507.06244

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zbMATH Keywords

Markov chain Monte CarloHamiltonian Monte Carlouncertainty quantificationBayesian inverse problemsGaussian process emulation

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cited In (21)

• A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems
• On the accept-reject mechanism for Metropolis-Hastings algorithms
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• Special issue: Big data and predictive computational modeling
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• Emulation-accelerated Hamiltonian Monte Carlo algorithms for parameter estimation and uncertainty quantification in differential equation models
• Geometric adaptive Monte Carlo in random environment
• Calibrate, emulate, sample
• An Acceleration Strategy for Randomize-Then-Optimize Sampling Via Deep Neural Networks
• Applying kriging proxies for Markov chain Monte Carlo in reservoir simulation
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• Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization
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Uses Software

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