Approximation of Bayesian Inverse Problems for PDEs

TL;DR

This paper develops a Bayesian regularization framework for inverse problems involving PDEs, providing stability estimates and error bounds for approximations of the posterior distribution, with applications to heat, Stokes, and Navier-Stokes equations.

Contribution

It introduces a theory linking the stability of Bayesian inverse problems to approximation errors, enabling transfer of forward problem estimates to inverse problem solutions.

Findings

Stability in the Hellinger metric bounds posterior approximation errors.

Application of the theory to inverse heat equation problem.

Extension to non-Gaussian inverse problems in fluid dynamics.

Abstract

Inverse problems are often ill-posed, with solutions that depend sensitively on data. In any numerical approach to the solution of such problems, regularization of some form is needed to counteract the resulting instability. This paper is based on an approach to regularization, employing a Bayesian formulation of the problem, which leads to a notion of well-posedness for inverse problems, at the level of probability measures. The stability which results from this well-posedness may be used as the basis for quantifying the approximation, in finite dimensional spaces, of inverse problems for functions. This paper contains a theory which utilizes the stability to estimate the distance between the true and approximate posterior distributions, in the Hellinger metric, in terms of error estimates for approximation of the underlying forward problem. This is potentially useful as it allows for the transfer of estimates from the numerical analysis of forward problems into estimates for the solution of the related inverse problem. In particular controlling differences in the Hellinger metric leads to control on the differences between expected values of polynomially bounded functions and operators, including the mean and covariance operator. The ideas are illustrated with the classical inverse problem for the heat equation, and then applied to some more complicated non-Gaussian inverse problems arising in data assimilation, involving determination of the initial condition for the Stokes or Navier-Stokes equation from Lagrangian and Eulerian observations respectively.