Posterior sampling with Adaptive Gaussian Processes in Bayesian parameter identification

TL;DR

This paper introduces an adaptive Gaussian process-based posterior sampling method for Bayesian parameter identification, significantly reducing computational effort by efficiently designing surrogate model evaluations.

Contribution

It proposes a fully adaptive greedy approach that optimizes evaluation points and accuracies for Gaussian process surrogates in Bayesian inverse problems.

Findings

Significant reduction in computational effort compared to static designs.

Effective representation of the posterior with fewer evaluations.

Adaptive design improves surrogate accuracy over time.

Abstract

Posterior sampling by Monte Carlo methods provides a more comprehensive solution approach to inverse problems than computing point estimates such as the maximum posterior using optimization methods, at the expense of usually requiring many more evaluations of the forward model. Replacing computationally expensive forward models by fast surrogate models is an attractive option. However, computing the simulated training data for building a sufficiently accurate surrogate model can be computationally expensive in itself, leading to the design of computer experiments problem of finding evaluation points and accuracies such that the highest accuracy is obtained given a fixed computational budget. Here, we consider a fully adaptive greedy approach to this problem. Using Gaussian process regression as surrogate, samples are drawn from the available posterior approximation while designs are incrementally defined by solving a sequence of optimization problems for evaluation accuracy and positions. The selection of training designs is tailored towards representing the posterior to be sampled as good as possible, while the interleaved sampling steps discard old inaccurate samples in favor of new, more accurate ones. Numerical results show a significant reduction of the computational effort compared to just position-adaptive and static designs.