Emulation of Higher-Order Tensors in Manifold Monte Carlo Methods for Bayesian Inverse Problems

Shiwei Lan, Tan Bui-Thanh, Michael Andrew Christie, Mark Girolami

Research output: Contribution to journalArticle

15 Citations (Scopus)
41 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)81-101
Number of pages21
JournalJournal of Computational Physics
Volume308
Early online date17 Dec 2015
DOIs
Publication statusPublished - 1 Mar 2016

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