Calibrate, emulate, sample
Many parameter estimation problems arising in applications can be cast in the framework of Bayesian inversion. This allows not only for an estimate of the parameters, but also for the quantification of uncertainties in the estimates. Often in such problems the parameter-to-data map is very expensive to evaluate, and computing derivatives of the map, or derivative-adjoints, may not be feasible. Additionally, in many applications only noisy evaluations of the map may be available. We propose an approach to Bayesian inversion in such settings that builds on the derivative-free optimization capabilities of ensemble Kalman inversion methods. The overarching approach is to first use ensemble Kalman sampling (EKS) to calibrate the unknown parameters to fit the data; second, to use the output of the EKS to emulate the parameter-to-data map; third, to sample from an approximate Bayesian posterior distribution in which the parameter-to-data map is replaced by its emulator. This results in a principled approach to approximate Bayesian inference that requires only a small number of evaluations of the (possibly noisy approximation of the) parameter-to-data map. It does not require derivatives of this map, but instead leverages the documented power of ensemble Kalman methods. Furthermore, the EKS has the desirable property that it evolves the parameter ensemble towards the regions in which the bulk of the parameter posterior mass is located, thereby locating them well for the emulation phase of the methodology. In essence, the EKS methodology provides a cheap solution to the design problem of where to place points in parameter space to efficiently train an emulator of the parameter-to-data map for the purposes of Bayesian inversion.
© 2020 Published by Elsevier Inc. Received 11 January 2020, Revised 1 July 2020, Accepted 8 July 2020, Available online 13 July 2020. All authors are supported by the generosity of Eric and Wendy Schmidt by recommendation of the Schmidt Futures program, by Earthrise Alliance, Mountain Philanthropies, The Paul G. Allen Family Foundation, and The National Science Foundation (NSF, award AGS-1835860). A.M.S. is also supported by NSF (award DMS-1818977) and by the Office of Naval Research (award N00014-17-1-2079). CRediT authorship contribution statement: Emmet Cleary: Methodology. Alfredo Garbuno-Inigo: Methodology, Software, Visualization, Writing - original draft, Writing - review & editing. Shiwei Lan: Methodology. Tapio Schneider: Conceptualization, Funding acquisition, Writing - original draft. Andrew M. Stuart: Conceptualization, Funding acquisition, Writing - original draft, Writing - review & editing. The authors declare that they have no known competing financial interests or personal relationships that could have appeared to influence the work reported in this paper.
Submitted - 2001.03689.pdf