GSTDTAP  > 资源环境科学
DOI10.1029/2021WR030051
Efficient discretization-independent Bayesian inversion of high-dimensional multi-Gaussian priors using a hybrid MCMC
Sebastian Reuschen; Fabian Jobst; Wolfgang Nowak
2021-07-14
发表期刊Water Resources Research
出版年2021
英文摘要

In geostatistics, Gaussian random fields are often used to model heterogeneities of soil or subsurface parameters. To give spatial approximations of these random fields, they are discretized. Then, different techniques of geostatistical inversion are used to condition them on measurement data. Among these techniques, Markov chain Monte Carlo (MCMC) techniques stand out, because they yield asymptotically unbiased conditional realizations. However, standard Markov Chain Monte Carlo (MCMC) methods suffer the curse of dimensionality when refining the discretization. This means that their efficiency decreases rapidly with an increasing number of discretization cells. Several MCMC approaches have been developed such that the MCMC efficiency does not depend on the discretization of the random field. The pre-conditioned Crank Nicolson Markov Chain Monte Carlo (pCN-MCMC) and the sequential Gibbs (or block-Gibbs) sampling are two examples. This paper presents a combination of both approaches with the goal to further reduce the computational costs. Our algorithm, the sequential pCN-MCMC, will depend on two tuning-parameters: the correlation parameter urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0001 of the pCN approach and the block size urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0002 of the sequential Gibbs approach. The original pCN-MCMC and the Gibbs sampling algorithm are special cases of our method. We present an algorithm that automatically finds the best tuning-parameter combination (urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0003 and urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0004) during the burn-in-phase of the algorithm, thus choosing the best possible hybrid between the two methods. In our test cases, we achieve a speedup factors of urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0005 over pCN and of urn:x-wiley:00431397:media:wrcr25439:wrcr25439-math-0006 over Gibbs. Furthermore, we provide the MATLAB implementation of our method as open-source code.

This article is protected by copyright. All rights reserved.

领域资源环境
URL查看原文
引用统计
文献类型期刊论文
条目标识符http://119.78.100.173/C666/handle/2XK7JSWQ/333830
专题资源环境科学
推荐引用方式
GB/T 7714
Sebastian Reuschen,Fabian Jobst,Wolfgang Nowak. Efficient discretization-independent Bayesian inversion of high-dimensional multi-Gaussian priors using a hybrid MCMC[J]. Water Resources Research,2021.
APA Sebastian Reuschen,Fabian Jobst,&Wolfgang Nowak.(2021).Efficient discretization-independent Bayesian inversion of high-dimensional multi-Gaussian priors using a hybrid MCMC.Water Resources Research.
MLA Sebastian Reuschen,et al."Efficient discretization-independent Bayesian inversion of high-dimensional multi-Gaussian priors using a hybrid MCMC".Water Resources Research (2021).
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
查看访问统计
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Sebastian Reuschen]的文章
[Fabian Jobst]的文章
[Wolfgang Nowak]的文章
百度学术
百度学术中相似的文章
[Sebastian Reuschen]的文章
[Fabian Jobst]的文章
[Wolfgang Nowak]的文章
必应学术
必应学术中相似的文章
[Sebastian Reuschen]的文章
[Fabian Jobst]的文章
[Wolfgang Nowak]的文章
相关权益政策
暂无数据
收藏/分享
所有评论 (0)
暂无评论
 

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。