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Bayesian inference provides a systematic framework for integration of data with mathematical models to quantify the uncertainty in the solution of the inverse problem. However, the solution of Bayesian inverse problems governed by complex forward models described by partial differential equations (PDEs) remains prohibitive with black-box Markov chain Monte Carlo (MCMC) methods. We present hIPPYlib-MUQ, an extensible and scalable software framework that contains implementations of state-of-the art algorithms aimed to overcome the challenges of high-dimensional, PDE-constrained Bayesian inverse problems. These algorithms accelerate MCMC sampling by exploiting the geometry and intrinsic low-dimensionality of parameter space via derivative information and low rank approximation. The software integrates two complementary open-source software packages, hIPPYlib and MUQ. hIPPYlib solves PDE-constrained inverse problems using automatically-generated adjoint-based derivatives, but it lacks full Bayesian capabilities. MUQ provides a spectrum of powerful Bayesian inversion models and algorithms, but expects forward models to come equipped with gradients and Hessians to permit large-scale solution. By combining these two complementary libraries, we created a robust, scalable, and efficient software framework that realizes the benefits of each and allows us to tackle complex large-scale Bayesian inverse problems across a broad spectrum of scientific and engineering disciplines. To illustrate the capabilities of hIPPYlib-MUQ, we present a comparison of a number of MCMC methods available in the integrated software on several high-dimensional Bayesian inverse problems. These include problems characterized by both linear and nonlinear PDEs, various noise models, and different parameter dimensions. The results demonstrate that large (∼ 50×) speedups over conventional black box and gradient-based MCMC algorithms can be obtained by exploiting Hessian information (from the log-posterior), underscoring the power of the integrated hIPPYlib-MUQ framework.
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hIPPYlib: An Extensible Software Framework for Large-Scale Inverse Problems Governed by PDEs: Part I: Deterministic Inversion and Linearized Bayesian Inference
We present an extensible software framework, hIPPYlib, for solution of large-scale deterministic and Bayesian inverse problems governed by partial differential equations (PDEs) with (possibly) infinite-dimensional parameter fields (which are high-dimensional after discretization). hIPPYlib overcomes the prohibitively expensive nature of Bayesian inversion for this class of problems by implementing state-of-the-art scalable algorithms for PDE-based inverse problems that exploit the structure of the underlying operators, notably the Hessian of the log-posterior. The key property of the algorithms implemented in hIPPYlib is that the solution of the inverse problem is computed at a cost, measured in linearized forward PDE solves, that is independent of the parameter dimension. The mean of the posterior is approximated by the MAP point, which is found by minimizing the negative log-posterior with an inexact matrix-free Newton-CG method. The posterior covariance is approximated by the inverse of the Hessian of the negative log posterior evaluated at the MAP point. The construction of the posterior covariance is made tractable by invoking a low-rank approximation of the Hessian of the log-likelihood. Scalable tools for sample generation are also discussed. hIPPYlib makes all of these advanced algorithms easily accessible to domain scientists and provides an environment that expedites the development of new algorithms.
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- Award ID(s):
- 1550547
- PAR ID:
- 10275717
- Date Published:
- Journal Name:
- ACM Transactions on Mathematical Software
- Volume:
- 47
- Issue:
- 2
- ISSN:
- 0098-3500
- Page Range / eLocation ID:
- 1 to 34
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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Abstract Obtaining lightweight and accurate approximations of discretized objective functional Hessians in inverse problems governed by partial differential equations (PDEs) is essential to make both deterministic and Bayesian statistical large-scale inverse problems computationally tractable. The cubic computational complexity of dense linear algebraic tasks, such as Cholesky factorization, that provide a means to sample Gaussian distributions and determine solutions of Newton linear systems is a computational bottleneck at large-scale. These tasks can be reduced to log-linear complexity by utilizing hierarchical off-diagonal low-rank (HODLR) matrix approximations. In this work, we show that a class of Hessians that arise from inverse problems governed by PDEs are well approximated by the HODLR matrix format. In particular, we study inverse problems governed by PDEs that model the instantaneous viscous flow of ice sheets. In these problems, we seek a spatially distributed basal sliding parameter field such that the flow predicted by the ice sheet model is consistent with ice sheet surface velocity observations. We demonstrate the use of HODLR Hessian approximation to efficiently sample the Laplace approximation of the posterior distribution with covariance further approximated by HODLR matrix compression. Computational studies are performed which illustrate ice sheet problem regimes for which the Gauss–Newton data-misfit Hessian is more efficiently approximated by the HODLR matrix format than the low-rank (LR) format. We then demonstrate that HODLR approximations can be favorable, when compared to global LR approximations, for large-scale problems by studying the data-misfit Hessian associated with inverse problems governed by the first-order Stokes flow model on the Humboldt glacier and Greenland ice sheet.more » « less
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null (Ed.)Abstract. We consider the problem of inferring the basal sliding coefficientfield for an uncertain Stokes ice sheet forward model from syntheticsurface velocity measurements. The uncertainty in the forward modelstems from unknown (or uncertain) auxiliary parameters (e.g., rheologyparameters). This inverse problem is posed within the Bayesianframework, which provides a systematic means of quantifyinguncertainty in the solution. To account for the associated modeluncertainty (error), we employ the Bayesian approximation error (BAE)approach to approximately premarginalize simultaneously over both thenoise in measurements and uncertainty in the forward model. We alsocarry out approximative posterior uncertainty quantification based ona linearization of the parameter-to-observable map centered at themaximum a posteriori (MAP) basal sliding coefficient estimate, i.e.,by taking the Laplace approximation. The MAP estimate is found byminimizing the negative log posterior using an inexact Newtonconjugate gradient method. The gradient and Hessian actions to vectorsare efficiently computed using adjoints. Sampling from theapproximate covariance is made tractable by invoking a low-rankapproximation of the data misfit component of the Hessian. We studythe performance of the BAE approach in the context of three numericalexamples in two and three dimensions. For each example, the basalsliding coefficient field is the parameter of primary interest whichwe seek to infer, and the rheology parameters (e.g., the flow ratefactor or the Glen's flow law exponent coefficient field) representso-called nuisance (secondary uncertain) parameters. Our resultsindicate that accounting for model uncertainty stemming from thepresence of nuisance parameters is crucial. Namely our findingssuggest that using nominal values for these parameters, as is oftendone in practice, without taking into account the resulting modelingerror, can lead to overconfident and heavily biased results. We alsoshow that the BAE approach can be used to account for the additionalmodel uncertainty at no additional cost at the online stage.more » « less
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Inverse problems constrained by partial differential equations (PDEs) play a critical role in model development and calibration. In many applications, there are multiple uncertain parameters in a model which must be estimated. Although the Bayesian formulation is attractive for such problems, computational cost and high dimensionality frequently prohibit a thorough exploration of the parametric uncertainty. A common approach is to reduce the dimension by fixing some parameters (which we will call auxiliary parameters) to a best estimate and use techniques from PDE-constrained optimization to approximate properties of the Bayesian posterior distribution. For instance, the maximum a posteriori probability (MAP) and the Laplace approximation of the posterior covariance can be computed. In this article, we propose using hyperdifferential sensitivity analysis (HDSA) to assess the sensitivity of the MAP point to changes in the auxiliary parameters. We establish an interpretation of HDSA as correlations in the posterior distribution. Our proposed framework is demonstrated on the inversion of bedrock topography for the Greenland ice-sheet with uncertainties arising from the basal friction coefficient and climate forcing (ice accumulation rate).more » « less
- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1145/3428447
