Stochastic spectral methods for efficient Bayesian solution of inverse problems

Authors:
Youssef M. Marzouk;Habib N. Najm;Larry A. Rahn
Affiliations:
Sandia National Laboratories, Livermore, CA 94551, USA;Sandia National Laboratories, Livermore, CA 94551, USA;Sandia National Laboratories, Livermore, CA 94551, USA
Venue:
Journal of Computational Physics
Year:
2007

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Abstract

We present a reformulation of the Bayesian approach to inverse problems, that seeks to accelerate Bayesian inference by using polynomial chaos (PC) expansions to represent random variables. Evaluation of integrals over the unknown parameter space is recast, more efficiently, as Monte Carlo sampling of the random variables underlying the PC expansion. We evaluate the utility of this technique on a transient diffusion problem arising in contaminant source inversion. The accuracy of posterior estimates is examined with respect to the order of the PC representation, the choice of PC basis, and the decomposition of the support of the prior. The computational cost of the new scheme shows significant gains over direct sampling.