Full text loading...
- E-ISSN: 1365-2478
-
Comparison of sparse‐grid geometric and random sampling methods in nonlinear inverse solution uncertainty estimation
- Source: Geophysical Prospecting, Volume 61, Issue 1, Jan 2013, p. 28 - 41
-
- 19 Mar 2012
Abstract
ABSTRACT
A new uncertainty estimation method, which we recently introduced in the literature, allows for the comprehensive search of model posterior space while maintaining a high degree of computational efficiency. The method starts with an optimal solution to an inverse problem, performs a parameter reduction step and then searches the resulting feasible model space using prior parameter bounds and sparse‐grid polynomial interpolation methods. After misfit rejection, the resulting model ensemble represents the equivalent model space and can be used to estimate inverse solution uncertainty. While parameter reduction introduces a posterior bias, it also allows for scaling this method to higher dimensional problems. The use of Smolyak sparse‐grid interpolation also dramatically increases sampling efficiency for large stochastic dimensions. Unlike Bayesian inference, which treats the posterior sampling problem as a random process, this geometric sampling method exploits the structure and smoothness in posterior distributions by solving a polynomial interpolation problem and then resampling from the resulting interpolant. The two questions we address in this paper are 1) whether our results are generally compatible with established Bayesian inference methods and 2) how does our method compare in terms of posterior sampling efficiency. We accomplish this by comparing our method for two electromagnetic problems from the literature with two commonly used Bayesian sampling schemes: Gibbs’ and Metropolis‐Hastings. While both the sparse‐grid and Bayesian samplers produce compatible results, in both examples, the sparse‐grid approach has a much higher sampling efficiency, requiring an order of magnitude fewer samples, suggesting that sparse‐grid methods can significantly improve the tractability of inference solutions for problems in high dimensions or with more costly forward physics.
© 2012 European Association of Geoscientists & Engineers