Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals

Alexandros Beskos, Ajay Jasra, Kody Law, Youssef Marzouk, Yan Zhou

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    In this article we develop a new sequential Monte Carlo method for multilevel Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an infinite-dimensional and noncompact space---as produced, for example, by a Bayesian inverse problem with a Gaussian random field prior. Under suitable assumptions the MLSMC method has the optimal $\mathcal{O}(\varepsilon^{-2})$ bound on the cost to obtain a mean-square error of $\mathcal{O}(\varepsilon^2)$. The algorithm is accelerated by dimension-independent likelihood-informed proposals [T. Cui, K. J. Law, and Y. M. Marzouk, (2016), J. Comput. Phys., 304, pp. 109--137] designed for Gaussian priors, leveraging a novel variation which uses empirical covariance information in lieu of Hessian information, hence eliminating the requirement for gradient evaluations. The efficiency of the algorithm is illustrated on two examples: (i) inversion of noisy pressure measurements in a PDE model of Darcy flow to recover the posterior distribution of the permeability field and (ii) inversion of noisy measurements of the solution of an SDE to recover the posterior path measure
    Original languageEnglish
    JournalSIAM / ASA Journal on Uncertainty Quantification
    Issue number2
    Early online date5 Jun 2018
    Publication statusPublished - 2018


    • multilevel Monte Carlo
    • Sequential Monte Carlo
    • Bayesian inverse problem


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