A STOCHASTIC NEWTON MCMC METHOD FOR LARGE-SCALE STATISTICAL INVERSE PROBLEMS WITH APPLICATION TO SEISMIC INVERSION

作者：Martin, James^*; Wilcox, Lucas C.; Burstedde, Carsten; Ghattas, Omar

来源：SIAM Journal on Scientific Computing, 2012, 34(3): A1460-A1487.

DOI：10.1137/110845598

• MCMC
• Stochastic Newton
• inverse problems
• uncertainty quantification
• Langevin dynamics
• low-rank Hessian

We address the solution of large-scale statistical inverse problems in the framework of Bayesian inference. The Markov chain Monte Carlo (MCMC) method is the most popular approach for sampling the posterior probability distribution that describes the solution of the statistical inverse problem. MCMC methods face two central difficulties when applied to large-scale inverse problems: first, the forward models (typically in the form of partial differential equations) that map uncertain parameters to observable quantities make the evaluation of the probability density at any point in parameter space very expensive; and second, the high-dimensional parameter spaces that arise upon discretization of infinite-dimensional parameter fields make the exploration of the probability density function prohibitive. The challenge for MCMC methods is to construct proposal functions that simultaneously provide a good approximation of the target density while being inexpensive to manipulate. Here we present a so-called Stochastic Newton method in which MCMC is accelerated by constructing and sampling from a proposal density that builds a local Gaussian approximation based on local gradient and Hessian (of the log posterior) information. Thus, the method exploits tools (adjoint-based gradients and Hessians) that have been instrumental for fast (often mesh-independent) solution of deterministic inverse problems. Hessian manipulations (inverse, square root) are made tractable by a low-rank approximation that exploits the compact nature of the data misfit operator. This is analogous to a reduced model of the parameter-to-observable map. The method is applied to the Bayesian solution of an inverse medium problem governed by 1D seismic wave propagation. We compare the Stochastic Newton method with a reference black box MCMC method as well as a gradient-based Langevin MCMC method, and observe at least two orders of magnitude improvement in convergence for problems with up to 65 parameters. Numerical evidence suggests that a 1025 parameter problem converges at the same rate as the 65 parameter problem.

• 出版日期2012