Variational Prior Replacement in Bayesian Inference and Inversion

TL;DR

This paper introduces variational prior replacement (VPR), a computationally efficient method to update prior information in Bayesian inference without redoing the entire calculation, demonstrated on seismic inversion.

Contribution

The paper presents a novel variational approach to modify prior information in Bayesian inference solutions efficiently, avoiding costly recomputations.

Findings

VPR produces posterior solutions similar to independent Bayesian inferences.

VPR significantly reduces computational time from days to minutes.

The method effectively incorporates different prior types, including geological priors.

Abstract

Many scientific investigations require that the values of a set of model parameters are estimated using recorded data. In Bayesian inference, information from both observed data and prior knowledge is combined to update model parameters probabilistically by calculating the posterior probability distribution function. Prior information is often described by a prior probability distribution. Situations arise in which we wish to change prior information during the course of a scientific project. However, estimating the solution to any single Bayesian inference problem is often computationally costly, as it typically requires many model samples to be drawn, and the data set that would have been recorded if each sample was true must be simulated. Recalculating the Bayesian inference solution every time prior information changes can therefore be extremely expensive. We develop a mathematical formulation that allows the prior information that is embedded within a solution, to be changed using variational methods, without recalculating the original Bayesian inference. In this method, existing prior information is removed from a previously obtained posterior distribution and is replaced by new prior information. We therefore call the methodology variational prior replacement (VPR). We demonstrate VPR using a 2D seismic full waveform inversion example, in which VPR provides similar posterior solutions to those obtained by solving independent inference problems using different prior distributions. The former can be completed within minutes on a laptop computer, whereas the latter requires days of computations using high-performance computing resources. We demonstrate the value of the method by comparing the posterior solutions obtained using three different types of prior information: uniform, smoothing and geological prior distributions.