[HTML][HTML] Bayesian model inversion using stochastic spectral embedding
In this paper we propose a new sampling-free approach to solve Bayesian model inversion
problems that is an extension of the previously proposed spectral likelihood expansions
(SLE) method. Our approach, called stochastic spectral likelihood embedding (SSLE), uses
the recently presented stochastic spectral embedding (SSE) method for local spectral
expansion refinement to approximate the likelihood function at the core of Bayesian
inversion problems. We show that, similar to SLE, this approach results in analytical …
problems that is an extension of the previously proposed spectral likelihood expansions
(SLE) method. Our approach, called stochastic spectral likelihood embedding (SSLE), uses
the recently presented stochastic spectral embedding (SSE) method for local spectral
expansion refinement to approximate the likelihood function at the core of Bayesian
inversion problems. We show that, similar to SLE, this approach results in analytical …
Abstract
In this paper we propose a new sampling-free approach to solve Bayesian model inversion problems that is an extension of the previously proposed spectral likelihood expansions (SLE) method. Our approach, called stochastic spectral likelihood embedding (SSLE), uses the recently presented stochastic spectral embedding (SSE) method for local spectral expansion refinement to approximate the likelihood function at the core of Bayesian inversion problems.
We show that, similar to SLE, this approach results in analytical expressions for key statistics of the Bayesian posterior distribution, such as evidence, posterior moments and posterior marginals, by direct post-processing of the expansion coefficients. Because SSLE and SSE rely on the direct approximation of the likelihood function, they are in a way independent of the computational/mathematical complexity of the forward model. We further enhance the efficiency of SSLE by introducing a likelihood specific adaptive sample enrichment scheme.
To showcase the performance of the proposed SSLE, we solve three problems that exhibit different kinds of complexity in the likelihood function: multimodality, high posterior concentration and high nominal dimensionality. We demonstrate how SSLE significantly improves on SLE, and present it as a promising alternative to existing inversion frameworks.
Elsevier