Li, Jinglai ORCID: 0000-0001-7980-6901 and Marzouk, Youssef M
(2014)
Adaptive Construction of Surrogates for the Bayesian Solution of Inverse Problems.
SIAM Journal on Scientific Computing, 36 (3).
A1163-A1186.
Abstract
The Bayesian approach to inverse problems typically relies on posterior sampling approaches, such as Markov chain Monte Carlo, for which the generation of each sample requires one or more evaluations of the parameter-to-observable map or forward model. When these evaluations are computationally intensive, approximations of the forward model are essential to accelerating sample-based inference. Yet the construction of globally accurate approximations for nonlinear forward models can be computationally prohibitive and in fact unnecessary, as the posterior distribution typically concentrates on a small fraction of the support of the prior distribution. We present a new approach that uses stochastic optimization to construct polynomial approximations over a sequence of distributions adaptively determined from the data, eventually concentrating on the posterior distribution. The approach yields substantial gains in efficiency and accuracy over prior-based surrogates, as demonstrated via application to inverse problems in partial differential equations.
Item Type: | Article |
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Additional Information: | 23 pages, 10 figures |
Uncontrolled Keywords: | Bayesian inference, cross-entropy method, importance sampling, inverse problem, Kullback-Leibler divergence, Markov chain Monte Carlo, polynomial chaos |
Depositing User: | Symplectic Admin |
Date Deposited: | 09 Oct 2018 08:35 |
Last Modified: | 19 Jan 2023 01:15 |
DOI: | 10.1137/130938189 |
Open Access URL: | https://dspace.mit.edu/openaccess-disseminate/1721... |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3027275 |