Sequential Monte Carlo Methods for High-Dimensional Inverse Problems

Stochastic Analysis Seminar Series

Abstract: We consider the inverse problem of estimating the initial condition of a partial differential equation, which is only observed through noisy measurements at discrete time intervals. In particular, we focus on the case where Eulerian measurements are obtained from the time and space evolving vector field, whose evolution obeys the two-dimensional Navier-Stokes equations defined on a torus. We will adopt a Bayesian formulation resulting from a particular regularisation that ensures the problem is well posed. In the context of Monte Carlo based inference, it is a challenging task to obtain samples from the resulting high dimensional posterior on the initial condition. Often, in data assimilation applications it is common for computational methods to invoke the use of heuristics and Gaussian approximations. In the presence of non-linear dynamics and observations, the resulting inferences are biased and not well-justified from a theoretical perspective. On the other hand, Monte Carlo methods can be used to assimilate data in a principled manner, but are often perceived as inefficient in this context due to the high-dimensionality of the problem. In this work we will propose a generic adaptive Sequential Monte Carlo (SMC) sampling approach for high dimensional inverse problems that overcomes some of these difficulties. The method builds upon appropriate Markov chain Monte Carlo (MCMC) techniques, which are currently considered as benchmarks for evaluating data assimilation algorithms used in practice. In our numerical examples, the proposed SMC approach achieves the same accuracy as MCMC but in a much more efficient manner. If time permits we will discuss some extensions of these ideas for high dimensional non-linear filtering problems. The talk is based on joint work with Alexandros Beskos (UCL), Ajay Jasra (NUS), Alexandre Thiery (NUS) and Dan Crisan (Imperial).



Nikolas Kantas (Imperial College London)

Monday, June 1, 2015 - 14:15
to 15:15