Parameter estimation by implicit sampling
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Publication:891599
DOI10.2140/CAMCOS.2015.10.205zbMATH Open1328.86002arXiv1308.4640OpenAlexW3099560474MaRDI QIDQ891599FDOQ891599
Authors: Matthias Morzfeld, Xuemin Tu, Jon Wilkening, Alexandre J. Chorin 
Publication date: 17 November 2015
Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)
Abstract: Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use implicit sampling in parameter estimation problems, where the goal is to find parameters of a numerical model, e.g.~a partial differential equation (PDE), such that the output of the numerical model is compatible with (noisy) data. We use the Bayesian approach to parameter estimation, in which a posterior probability density describes the probability of the parameter conditioned on data and compute an empirical estimate of this posterior with implicit sampling. Our approach generates independent samples, so that some of the practical difficulties one encounters with Markov Chain Monte Carlo methods, e.g.~burn-in time or correlations among dependent samples, are avoided. We describe a new implementation of implicit sampling for parameter estimation problems that makes use of multiple grids (coarse to fine) and BFGS optimization coupled to adjoint equations for the required gradient calculations. The implementation is "dimension independent", in the sense that a well-defined finite dimensional subspace is sampled as the mesh used for discretization of the PDE is refined. We illustrate the algorithm with an example where we estimate a diffusion coefficient in an elliptic equation from sparse and noisy pressure measurements. In the example, dimensionslash mesh-independence is achieved via Karhunen-Lo`{e}ve expansions.
Full work available at URL: https://arxiv.org/abs/1308.4640
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