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Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2016/01/27
13:00-14:10 Room #052 (Graduate School of Math. Sci. Bldg.)
Ajay Jasra (National University of Singapore)
Multilevel SMC Samplers
Ajay Jasra (National University of Singapore)
Multilevel SMC Samplers
[ Abstract ]
The approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs) is considered herein; this scenario appears routinely in Bayesian inverse problems. In practice, one often has to solve the associated PDE numerically, using, for instance finite element methods and leading to a discretisation bias, with step-size level h_L. In addition, the expectation cannot be computed analytically and one often resorts to Monte Carlo methods. In the context of this problem, it is known that the introduction of the multi-level Monte Carlo (MLMC) method can reduce the amount of computational effort to estimate expectations, for a given level of error. This is achieved via a telescoping identity associated to a Monte Carlo approximation of a sequence of probability distributions with discretisation levels \infty>h_0>h_1\cdots>h_L. In many practical problems of interest, one cannot achieve an i.i.d. sampling of the associated sequence of probability distributions. A sequential Monte Carlo (SMC) version of the MLMC method is introduced to deal with this problem. It is shown that under appropriate assumptions, the attractive property of a reduction of the amount of computational effort to estimate expectations, for a given level of error, can be maintained in the SMC context. The approach is numerically illustrated on a Bayesian inverse problem. This is a joint work with Kody Law (ORNL), Yan Zhou (NUS), Raul Tempone (KAUST) and Alex Beskos (UCL).
The approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs) is considered herein; this scenario appears routinely in Bayesian inverse problems. In practice, one often has to solve the associated PDE numerically, using, for instance finite element methods and leading to a discretisation bias, with step-size level h_L. In addition, the expectation cannot be computed analytically and one often resorts to Monte Carlo methods. In the context of this problem, it is known that the introduction of the multi-level Monte Carlo (MLMC) method can reduce the amount of computational effort to estimate expectations, for a given level of error. This is achieved via a telescoping identity associated to a Monte Carlo approximation of a sequence of probability distributions with discretisation levels \infty>h_0>h_1\cdots>h_L. In many practical problems of interest, one cannot achieve an i.i.d. sampling of the associated sequence of probability distributions. A sequential Monte Carlo (SMC) version of the MLMC method is introduced to deal with this problem. It is shown that under appropriate assumptions, the attractive property of a reduction of the amount of computational effort to estimate expectations, for a given level of error, can be maintained in the SMC context. The approach is numerically illustrated on a Bayesian inverse problem. This is a joint work with Kody Law (ORNL), Yan Zhou (NUS), Raul Tempone (KAUST) and Alex Beskos (UCL).
