An improved implicit sampling for Bayesian inverse problems of multi-term time fractional multiscale diffusion models

TL;DR

This paper introduces an improved implicit sampling method for hierarchical Bayesian inverse problems, enhancing accuracy and applicability in high-dimensional, multi-term time fractional diffusion models with heterogeneity.

Contribution

The paper proposes a new weight formulation and resampling strategy for implicit sampling, improving posterior estimation in high-dimensional Bayesian inverse problems.

Findings

Enhanced posterior estimator accuracy

Effective handling of high-dimensional inverse problems

Significant speed-up using mixed GMsFEM

Abstract

This paper presents an improved implicit sampling method for hierarchical Bayesian inverse problems. A widely used approach for sampling posterior distribution is based on Markov chain Monte Carlo (MCMC). However, the samples generated by MCMC are usually strongly correlated. This may lead to a small size of effective samples from a long Markov chain and the resultant posterior estimate may be inaccurate. An implicit sampling method proposed in [11] can generate independent samples and capture some inherent non-Gaussian features of the posterior based on the weights of samples. In the implicit sampling method, the posterior samples are generated by constructing a map and distribute around the MAP point. However, the weights of implicit sampling in previous works may cause excessive concentration of samples and lead to ensemble collapse. To overcome this issue, we propose a new weight formulation and make resampling based on the new weights. In practice, some parameters in prior density are often unknown and a hierarchical Bayesian inference is necessary for posterior exploration. To this end, the hierarchical Bayesian formulation is used to estimate the MAP point and integrated in the implicit sampling framework. Compared to conventional implicit sampling, the proposed implicit sampling method can significantly improve the posterior estimator and the applicability for high dimensional inverse problems. The improved implicit sampling method is applied to the Bayesian inverse problems of multi-term time fractional diffusion models in heterogeneous media. To effectively capture the heterogeneity effect, we present a mixed generalized multiscale finite element method (mixed GMsFEM) to solve the time fractional diffusion models in a coarse grid, which can substantially speed up the Bayesian inversion.