Sparse, adaptive Smolyak quadratures for Bayesian inverse problems

DOI10.1088/0266-5611/29/6/065011MaRDI QIDQ2852289zbMATH OpenOpenAlexFDO

Authors Claudia Schillings, Christoph Schwab

Publication date 8 October 2013

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/c69543f5691a9a3f4b660e8730216f65c39da304

zbMATH Keywords

algorithmBanach spaceBayesian inverse problemsconvergence rateMarkov chain Monte Carlo methodsnumerical examplessparse adaptive Smolyak quadrature

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Numerical quadrature and cubature formulas (65D32)

Review text

The authors propose a practical computational algorithm, based on the parametric deterministic formulation of Bayesian inverse problems with unknown input parameter from infinite-dimensional, separable Banach spaces. The convergence rates of the algorithm are provably higher than those of Monte Carlo and Markov chain Monte Carlo methods, in terms of the number of solutions of the forward problem. The authors design and implement a class of adaptive, deterministic sparse tensor Smolyak quadrature schemes for the efficient approximate numerical evaluation of expectations under the posterior given data. The proposed deterministic quadrature algorithm is based on a greedy iterative identification of finite sets of most significant ``active chaos polynomials in the posterior density. Convergence rates for the quadrature approximation are shown, both theoretically and computationally, to depend only on the sparsity class of the unknown, but are bounded independently of the number of random variables activated by the adaptive algorithm. Numerical examples confirm the theoretical results.

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