Ensemble Inference Methods for Models with Noisy and Expensive Likelihoods

Marie-Therese Wolfram (U Warwick)

May 18. 2022, 14:00 — 14:45

The increasing availability of data presents an opportunity to calibrate unknown parameters which appear in complex models of phenomena in the biomedical, physical and social sciences. However, model complexity often leads to parameter-to-data maps which are expensive to evaluate and are only available through noisy approximations. In this talk we focus on interacting particle systems for the solution of the resulting inverse problems for parameters. Of particular interest is the case where the available forward model evaluations are subject to rapid fluctuations, in parameter space, superimposed on the smoothly varying large scale parametric structure of interest. Multiscale analysis is then used to analyze the behaviour of interacting particle system algorithms when rapid fluctuations, which we refer to as noise, pollute the large scale parametric dependence of the parameter-to-data map. We compare ensemble Kalman methods and Langevin-based methods in this light. The ensemble Kalman methods are shown to behave favourably in the presence of noise in the parameter-to-data map, whereas Langevin methods are adversely affected. On the other hand, Langevin methods have the correct equilibrium distribution in the setting of noise-free forward models, whilst ensemble Kalman methods only provide an uncontrolled approximation, except in the linear case. We therefore introduce a new class of algorithms - so called ensemble Gaussian process samplers - which combine the benefits of both ensemble Kalman and Langevin methods, and perform favourably.

Joint work with O.R.A. Dunbar, A.B. Duncan, and A.M. Stuart

Further Information
ESI Boltzmann Lecture Hall
Associated Event:
Computational Uncertainty Quantification: Mathematical Foundations, Methodology & Data (Thematic Programme)
Clemens Heitzinger (TU Vienna)
Fabio Nobile (EPFL, Lausanne)
Robert Scheichl (U Heidelberg)
Christoph Schwab (ETH Zürich)
Sara van de Geer (ETH Zürich)
Karen Willcox (U of Texas, Austin)