Multilevel Markov Chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866911107834183680 |
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| author | Vanmechelen, Pieter Lombaert, Geert Samaey, Giovanni |
| author_facet | Vanmechelen, Pieter Lombaert, Geert Samaey, Giovanni |
| contents | We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent data resolution and introduce a suitable likelihood scaling to enable consistent cross-level comparisons. We theoretically show that this approach attains the same convergence rates as when using level-independent treatment of data, but at significantly reduced computational cost. The convergence analysis focuses on Lipschitz continuous transformations of Gaussian random fields with Matérn covariance structure. These results are illustrated using numerical experiments for a 2D plane stress problem, where the Young's modulus is estimated from discretisations of the displacement field. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_15978 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Multilevel Markov Chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations Vanmechelen, Pieter Lombaert, Geert Samaey, Giovanni Numerical Analysis 62F15, 35R60, 65C40 (Primary), 62M05, 65C05, 65N30 (Secondary) We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent data resolution and introduce a suitable likelihood scaling to enable consistent cross-level comparisons. We theoretically show that this approach attains the same convergence rates as when using level-independent treatment of data, but at significantly reduced computational cost. The convergence analysis focuses on Lipschitz continuous transformations of Gaussian random fields with Matérn covariance structure. These results are illustrated using numerical experiments for a 2D plane stress problem, where the Young's modulus is estimated from discretisations of the displacement field. |
| title | Multilevel Markov Chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations |
| topic | Numerical Analysis 62F15, 35R60, 65C40 (Primary), 62M05, 65C05, 65N30 (Secondary) |
| url | https://arxiv.org/abs/2401.15978 |