Fast Algorithms for Bayesian Uncertainty Quantification in Large-Scale Linear Inverse Problems Based on Low-Rank Partial Hessian Approximations

• Published in: SIAM journal on scientific computing Vol. 33; no. 1; pp. 407 - 432
• Main Authors: Flath, H. P., Wilcox, L. C., Akçelik, V., Hill, J., van Bloemen Waanders, B., Ghattas, O.
• Format: Journal Article
• Language: English
• Published: Philadelphia Society for Industrial and Applied Mathematics 01.01.2011
• Subjects: Algorithms; Approximation; Bayesian analysis; Computation; Covariance; Density; Gaussian; Inverse problems; Mathematical models; Studies; Uncertainty
• ISSN: 1064-8275; 1095-7197
• DOI: 10.1137/090780717

We consider the problem of estimating the uncertainty in large-scale linear statistical inverse problems with high-dimensional parameter spaces within the framework of Bayesian inference. When the noise and prior probability densities are Gaussian, the solution to the inverse problem is also Gaussian and is thus characterized by the mean and covariance matrix of the posterior probability density. Unfortunately, explicitly computing the posterior covariance matrix requires as many forward solutions as there are parameters and is thus prohibitive when the forward problem is expensive and the parameter dimension is large. However, for many ill-posed inverse problems, the Hessian matrix of the data misfit term has a spectrum that collapses rapidly to zero. We present a fast method for computation of an approximation to the posterior covariance that exploits the low-rank structure of the preconditioned (by the prior covariance) Hessian of the data misfit. Analysis of an infinite-dimensional model convection-diffusion problem, and numerical experiments on large-scale three-dimensional convection-diffusion inverse problems with up to 1.5 million parameters, demonstrate that the number of forward PDE solves required for an accurate low-rank approximation is independent of the problem dimension. This permits scalable estimation of the uncertainty in large-scale ill-posed linear inverse problems at a small multiple (independent of the problem dimension) of the cost of solving the forward problem. [PUBLICATION ABSTRACT]