Fast Bayesian approach for parameter estimation

Abstract

AbstractThis paper presents two techniques, i.e. the proper orthogonal decomposition (POD) and the stochastic collocation method (SCM), for constructing surrogate models to accelerate the Bayesian inference approach for parameter estimation problems associated with partial differential equations. POD is a model reduction technique that derives reduced‐order models using an optimal problem‐adapted basis to effect significant reduction of the problem size and hence computational cost. SCM is an uncertainty propagation technique that approximates the parameterized solution and reduces further forward solves to function evaluations. The utility of the techniques is assessed on the non‐linear inverse problem of probabilistically calibrating scalar Robin coefficients from boundary measurements arising in the quenching process and non‐destructive evaluation. A hierarchical Bayesian model that handles flexibly the regularization parameter and the noise level is employed, and the posterior state space is explored by the Markov chain Monte Carlo. The numerical results indicate that significant computational gains can be realized without sacrificing the accuracy. Copyright © 2008 John Wiley & Sons, Ltd.