A Stochastic Newton MCMC Method for Large-Scale Statistical Inverse Problems with Application to Seismic Inversion

Abstract

We address the solution of large-scale statistical inverse problems in the framework of Bayesian inference. The Markov chain Monte Carlo (MCMC) method is the most popular approach for sampling the posterior probability distribution that describes the solution of the statistical inverse problem. MCMC methods face two central difficulties when applied to large-scale inverse problems: first, the forward models (typically in the form of partial differential equations) that map uncertain parameters to observable quantities make the evaluation of the probability density at any point in parameter space very expensive; and second, the high-dimensional parameter spaces that arise upon discretization of infinite-dimensional parameter fields make the exploration of the probability density function prohibitive. The challenge for MCMC methods is to construct proposal functions that simultaneously provide a good approximation of the target density while being inexpensive to manipulate. Here we present a so-called Stoch...