Dashti, Masoumeh and Stuart, Andrew M.
(2017)
*The Bayesian Approach to Inverse Problems.*
In:
Handbook of Uncertainty Quantification.
Springer
, Cham, Switzerland, pp. 311-428.
ISBN 978-3-319-12384-4.
http://resolver.caltech.edu/CaltechAUTHORS:20161111-104641272

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## Abstract

These lecture notes highlight the mathematical and computational structure relating to the formulation of, and development of algorithms for, the Bayesian approach to inverse problems in differential equations. This approach is fundamental in the quantification of uncertainty within applications in volving the blending of mathematical models with data. The finite dimensional situation is described first, along with some motivational examples. Then the development of probability measures on separable Banach space is undertaken, using a random series over an infinite set of functions to construct draws; these probability measures are used as priors in the Bayesian approach to inverse problems. Regularity of draws from the priors is studied in the natural Sobolev or Besov spaces implied by the choice of functions in the random series construction, and the Kolmogorov continuity theorem is used to extend regularity considerations to the space of Hölder continuous functions. Bayes’ theorem is de rived in this prior setting, and here interpreted as finding conditions under which the posterior is absolutely continuous with respect to the prior, and determining a formula for the Radon-Nikodym derivative in terms of the likelihood of the data. Having established the form of the posterior, we then describe various properties common to it in the infinite dimensional setting. These properties include well-posedness, approximation theory, and the existence of maximum a posteriori estimators. We then describe measure-preserving dynamics, again on the infinite dimensional space, including Markov chain-Monte C arlo and sequential Monte Carlo methods, and measure-preserving reversible stochastic differential equations. By formulating the theory and algorithms on the underlying infinite dimensional space, we obtain a framework suitable for rigorous analysis of the accuracy of reconstructions, of computational complexity, as well as naturally constructing algorithms which perform well under mesh refinement, since they are inherently well-defined in infinite dimensions.

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Additional Information: | © 2017 Springer. The authors are indebted to Martin Hairer for help in the development of these notes, and in particular for considerable help in structuring the Appendix, for the proof of Theorem 28 (which is a slight generalization to Hilbert scales of Theorem 6.16 in [40]) and for the proof of Corollary 5 (which is a generalization of Corollary 3.22 in [40] to the non-Gaussian setting and to Hölder, rather than Lipschitz, functions {Ψ_k}). They are also grateful to Joris Bierkens, Patrick Conrad, Matthew Dunlop, Shiwei Lan, Yulong Lu, Daniel Sanz-Alonso, Claudia Schillings and Aretha Teckentrup for careful proof-reading of the notes and related comments. AMS is grateful for various hosts who gave him the opportunity to teach this material in short course form at TIFR-Bangalore (Amit Apte), Göttingen (Axel Munk), PKU-Beijing (Teijun Li), ETH-Zurich (Christoph Schwab) and Cambridge CCA (Arieh Iserles), a process which led to refinements of the material; the authors are also grateful to the students on those courses, who provided useful feedback. The authors would also like to thank Sergios Agapiou and Yuan-Xiang Zhang for help in the preparation of these lecture notes, including type-setting, proof-reading, providing the proof of Lemma 3and delivering problems classes related to the short courses. AMS is also pleased to acknowledge the financial support of EPSRC, ERC and ONR over the last decade, while the research that underpins this work has been developed. | ||||||||||||

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Subject Keywords: | Inverse problems, Bayesian inversion, Tikhonov regularization and MAP estimators, Markov chain Monte Carlo, sequential Monte Carlo, Langevin stochastic partial differential equations. | ||||||||||||

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Record Number: | CaltechAUTHORS:20161111-104641272 | ||||||||||||

Persistent URL: | http://resolver.caltech.edu/CaltechAUTHORS:20161111-104641272 | ||||||||||||

Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||||||||

ID Code: | 71941 | ||||||||||||

Collection: | CaltechAUTHORS | ||||||||||||

Deposited By: | Linda Taddeo | ||||||||||||

Deposited On: | 15 Nov 2016 01:45 | ||||||||||||

Last Modified: | 22 Aug 2017 21:50 |

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