Dimension and model reduction approaches for linear Bayesian inverse problems with rank-deficient prior covariances

TL;DR

This paper introduces new dimension and model reduction techniques for linear Bayesian inverse problems with rank-deficient priors, improving computational efficiency and providing theoretical guarantees.

Contribution

The work develops novel reduction methods applicable to general linear Bayesian inverse problems and specific approaches for linear dynamical systems, with proven accuracy and efficiency.

Findings

Methods achieve accurate posterior approximations

Significant computational cost reductions demonstrated

Theoretical guarantees support the proposed approaches

Abstract

Bayesian inverse problems use observed data to update a prior probability distribution for an unknown state or parameter of a scientific system to a posterior distribution conditioned on the data. In many applications, the unknown parameter is high-dimensional, making computation of the posterior expensive due to the need to sample in a high-dimensional space and the need to evaluate an expensive high-dimensional forward model relating the unknown parameter to the data. However, inverse problems often exhibit low-dimensional structure due to the fact that the available data are only informative in a low-dimensional subspace of the parameter space. Dimension reduction approaches exploit this structure by restricting inference to the low-dimensional subspace informed by the data, which can be sampled more efficiently. Further computational cost reductions can be achieved by replacing expensive high-dimensional forward models with cheaper lower-dimensional reduced models. In this work, we propose new dimension and model reduction approaches for linear Bayesian inverse problems with rank-deficient prior covariances, which arise in many practical inference settings. The dimension reduction approach is applicable to general linear Bayesian inverse problems whereas the model reduction approaches are specific to the problem of inferring the initial condition of a linear dynamical system. We provide theoretical approximation guarantees as well as numerical experiments demonstrating the accuracy and efficiency of the proposed approaches.