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Solving large-scale PDE-constrained Bayesian inverse problems with Riemann manifold Hamiltonian Monte Carlo
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Bui-Thanh, T. and Girolami, Mark (2014) Solving large-scale PDE-constrained Bayesian inverse problems with Riemann manifold Hamiltonian Monte Carlo. Inverse Problems, Volume 30 (Number 11). Article number 114014. doi:10.1088/0266-5611/30/11/114014
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Official URL: http://dx.doi.org/10.1088/0266-5611/30/11/114014
Abstract
We consider the Riemann manifold Hamiltonian Monte Carlo (RMHMC) method for solving statistical inverse problems governed by partial differential equations (PDEs). The Bayesian framework is employed to cast the inverse problem into the task of statistical inference whose solution is the posterior distribution in infinite dimensional parameter space conditional upon observation data and Gaussian prior measure. We discretize both the likelihood and the prior using the H1-conforming finite element method together with a matrix transfer technique. The power of the RMHMC method is that it exploits the geometric structure induced by the PDE constraints of the underlying inverse problem. Consequently, each RMHMC posterior sample is almost uncorrelated/independent from the others providing statistically efficient Markov chain simulation. However this statistical efficiency comes at a computational cost. This motivates us to consider computationally more efficient strategies for RMHMC. At the heart of our construction is the fact that for Gaussian error structures the Fisher information matrix coincides with the Gauss–Newton Hessian. We exploit this fact in considering a computationally simplified RMHMC method combining state-of-the-art adjoint techniques and the superiority of the RMHMC method. Specifically, we first form the Gauss–Newton Hessian at the maximum a posteriori point and then use it as a fixed constant metric tensor throughout RMHMC simulation. This eliminates the need for the computationally costly differential geometric Christoffel symbols, which in turn greatly reduces computational effort at a corresponding loss of sampling efficiency. We further reduce the cost of forming the Fisher information matrix by using a low rank approximation via a randomized singular value decomposition technique. This is efficient since a small number of Hessian-vector products are required. The Hessian-vector product in turn requires only two extra PDE solves using the adjoint technique. Various numerical results up to 1025 parameters are presented to demonstrate the ability of the RMHMC method in exploring the geometric structure of the problem to propose (almost) uncorrelated/independent samples that are far away from each other, and yet the acceptance rate is almost unity. The results also suggest that for the PDE models considered the proposed fixed metric RMHMC can attain almost as high a quality performance as the original RMHMC, i.e. generating (almost) uncorrelated/independent samples, while being two orders of magnitude less computationally expensive.
| Item Type: | Journal Article | ||||||||
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| Divisions: | Faculty of Science > Statistics | ||||||||
| Journal or Publication Title: | Inverse Problems | ||||||||
| Publisher: | Institute of Physics Publishing Ltd. | ||||||||
| ISSN: | 0266-5611 | ||||||||
| Official Date: | 28 October 2014 | ||||||||
| Dates: |
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| Volume: | Volume 30 | ||||||||
| Number: | Number 11 | ||||||||
| Article Number: | Article number 114014 | ||||||||
| DOI: | 10.1088/0266-5611/30/11/114014 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Open Access | ||||||||
| Adapted As: |
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