A map-based approach to Bayesian inference in inverse problems
Presenter
June 8, 2011
Keywords:
- Bayesian problems
MSC:
- 62C10
Abstract
Bayesian inference provides a natural framework for quantifying
uncertainty in PDE-constrained inverse problems, for fusing
heterogeneous sources of information, and for conditioning successive
predictions on data. In this setting, simulating from the posterior
via Markov chain Monte Carlo (MCMC) constitutes a fundamental
computational bottleneck. We present a new technique that entirely
avoids Markov chain-based simulation, by constructing a map under
which the posterior becomes the pushforward measure of the
prior. Existence and uniqueness of a suitable map is established by
casting our algorithm in the context of optimal transport theory. The
proposed maps are analytically and efficiently computed using
various optimization methods.