HJ-sampler: A Bayesian sampler for inverse problems of a stochastic process by leveraging Hamilton-Jacobi PDEs and score-based generative models

TL;DR

This paper introduces the HJ-sampler, a novel Bayesian sampling algorithm leveraging Hamilton-Jacobi PDEs and score-based models to solve inverse problems of stochastic processes, enhancing flexibility and addressing model uncertainty.

Contribution

The paper develops the HJ-sampler algorithm that combines viscous Hamilton-Jacobi PDEs with score-based models for Bayesian inverse problems, extending theoretical frameworks and offering practical variants.

Findings

Effective in solving Bayesian inverse problems for stochastic processes

Flexible in choosing numerical solvers for PDEs

Addresses model misspecification and quantifies uncertainty

Abstract

The interplay between stochastic processes and optimal control has been extensively explored in the literature. With the recent surge in the use of diffusion models, stochastic processes have increasingly been applied to sample generation. This paper builds on the log transform, known as the Cole-Hopf transform in Brownian motion contexts, and extends it within a more abstract framework that includes a linear operator. Within this framework, we found that the well-known relationship between the Cole-Hopf transform and optimal transport is a particular instance where the linear operator acts as the infinitesimal generator of a stochastic process. We also introduce a novel scenario where the linear operator is the adjoint of the generator, linking to Bayesian inference under specific initial and terminal conditions. Leveraging this theoretical foundation, we develop a new algorithm, named the HJ-sampler, for Bayesian inference for the inverse problem of a stochastic differential equation with given terminal observations. The HJ-sampler involves two stages: (1) solving the viscous Hamilton-Jacobi partial differential equations, and (2) sampling from the associated stochastic optimal control problem. Our proposed algorithm naturally allows for flexibility in selecting the numerical solver for viscous HJ PDEs. We introduce two variants of the solver: the Riccati-HJ-sampler, based on the Riccati method, and the SGM-HJ-sampler, which utilizes diffusion models. We demonstrate the effectiveness and flexibility of the proposed methods by applying them to solve Bayesian inverse problems involving various stochastic processes and prior distributions, including applications that address model misspecifications and quantifying model uncertainty.