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STEIN VARIATIONAL REDUCED BASIS BAYESIAN INVERSION
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AI
DOI：10.1137/20M1321589.png)
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Abstract
En 中文
We propose and analyze a Stein variational reduced basis method (SVRB) to solve large-scale PDE-constrained Bayesian inverse problems. To address the computational challenge of drawing numerous samples requiring expensive PDE solves from the posterior distribution, we integrate an adaptive and goal-oriented model reduction technique with an optimization-based Stein variational gradient descent method. We present detailed analyses for the reduced basis approximation errors of the potential and its gradient, the induced errors of the posterior distribution measured by Kullback-Leibler divergence, as well as the induced errors of the Stein variational samples. To demonstrate the computational accuracy and efficiency of SVRB, we report results of numerical experiments on a Bayesian inverse problem governed by a diffusion PDE with random parameters with both uniform and Gaussian prior distributions. Over 100X speedups can be achieved while the accuracy of the approximation of the potential and its gradient is preserved.
Keywords:
Bayesian inverse problems
model reduction
reduced basis
variational inference
error analysis
uncertainty quantification
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