In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large--scale applications with high dimensional parameter spaces, e.g. in uncertainty quantification in porous media flow. We propose a new multilevel Metropolis-Hastings algorithm, and give an abstract, problem dependent theorem on the cost of the new multilevel estimator based on a set of simple, verifiable assumptions. For a typical model problem in subsurface flow, we then provide a detailed analysis of these assumptions and show significant gains over the standard Metropolis-Hastings estimator. Numerical experiments confirm the analysis and demonstrate the effectiveness of the method with consistent reductions of more than an order of magnitude in the cost of the multilevel estimator over the standard Metropolis-Hastings algorithm for tolerances ε<0.01.
- multilevel Monte Carlo
- Metropolis-Hastings algorithm
- Bayesian inference
- pdes with random coecients
Dodwell, T., Ketelsen, C., Scheichl, R., & Teckentrup, A. L. (2015). A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow. SIAM/ASA Journal on Uncertainty Quantification, 3(1), 1075-1108. https://doi.org/10.1137/130915005