Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems

R. Scheichl, A.M. Stuart, A. L. Teckentrup

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Abstract

We are interested in computing the expectation of a functional of a PDE solution under a Bayesian posterior distribution. Using Bayes's rule, we reduce the problem to estimating the ratio of two related prior expectations. For a model elliptic problem, we provide a full convergence and complexity analysis of the ratio estimator in the case where Monte Carlo, quasi-Monte Carlo, or multilevel Monte Carlo methods are used as estimators for the two prior expectations. We show that the computational complexity of the ratio estimator to achieve a given accuracy is the same as the corresponding complexity of the individual estimators for the numerator and the denominator. We also include numerical simulations, in the context of the model elliptic problem, which demonstrate the effectiveness of the approach.
Original languageEnglish
Pages (from-to)493-518
Number of pages26
JournalSIAM/ASA Journal on Uncertainty Quantification
Volume5
Issue number1
Early online date27 Apr 2017
DOIs
Publication statusPublished - 31 Dec 2017

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