TY - JOUR

T1 - Multilevel sequential monte carlo with dimension-independent likelihood-informed proposals

AU - Beskos, Alexandros

AU - Jasra, Ajay

AU - Law, Kody

AU - Marzouk, Youssef

AU - Zhou, Yan

N1 - Generated from Scopus record by KAUST IRTS on 2019-11-20

PY - 2018/1/1

Y1 - 2018/1/1

N2 - In this article we develop a new sequential Monte Carlo method for multilevel Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an infinite-dimensional and noncompact space—as produced, for example, by a Bayesian inverse problem with a Gaussian random field prior. Under suitable assumptions the MLSMC method has the optimal O(ε− 2) bound on the cost to obtain a mean-square error of O(ε2). The algorithm is accelerated by dimension-independent likelihood-informed proposals [T. Cui, K. J. Law, and Y. M. Marzouk, (2016), J. Comput. Phys., 304, pp. 109–137] designed for Gaussian priors, leveraging a novel variation which uses empirical covariance information in lieu of Hessian information, hence eliminating the requirement for gradient evaluations. The efficiency of the algorithm is illustrated on two examples: (i) inversion of noisy pressure measurements in a PDE model of Darcy flow to recover the posterior distribution of the permeability field and (ii) inversion of noisy measurements of the solution of an SDE to recover the posterior path measure.

AB - In this article we develop a new sequential Monte Carlo method for multilevel Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an infinite-dimensional and noncompact space—as produced, for example, by a Bayesian inverse problem with a Gaussian random field prior. Under suitable assumptions the MLSMC method has the optimal O(ε− 2) bound on the cost to obtain a mean-square error of O(ε2). The algorithm is accelerated by dimension-independent likelihood-informed proposals [T. Cui, K. J. Law, and Y. M. Marzouk, (2016), J. Comput. Phys., 304, pp. 109–137] designed for Gaussian priors, leveraging a novel variation which uses empirical covariance information in lieu of Hessian information, hence eliminating the requirement for gradient evaluations. The efficiency of the algorithm is illustrated on two examples: (i) inversion of noisy pressure measurements in a PDE model of Darcy flow to recover the posterior distribution of the permeability field and (ii) inversion of noisy measurements of the solution of an SDE to recover the posterior path measure.

UR - https://epubs.siam.org/doi/10.1137/17M1120993

UR - http://www.scopus.com/inward/record.url?scp=85049797309&partnerID=8YFLogxK

U2 - 10.1137/17M1120993

DO - 10.1137/17M1120993

M3 - Article

SN - 2166-2525

VL - 6

JO - SIAM-ASA Journal on Uncertainty Quantification

JF - SIAM-ASA Journal on Uncertainty Quantification

IS - 2

ER -