Efficient Monte Carlo Uncertainty Quantification through Problem-dependent Proposals

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review

The solution of an inverse problem is a process where an algorithm asks questions to the data. In some cases the questions are yes/no questions (accepting or rejecting a model proposed by an Markov Chain Monte Carlo (MCMC) algorithm) and in other cases the questions are more complex, as in a deterministic algorithm's quest for gradients or curvatures. However, no algorithm can ask the right question without an efficient interrogation strategy. Such a strategy comes from what we call 'prior information', either about the solution to be found, or about the nature of the forward relation. The latter strategy is particularly important and is for MCMC algorithms expressed through the 'proposal distribution'. We shall explore the importance of proposal strategies, and show that dramatic improvements can be made if information-rich strategies are employed.

Original languageEnglish
Title of host publication81st EAGE Conference and Exhibition 2019 Workshop Programme
PublisherEAGE Publishing BV
Publication date2019
ISBN (Electronic)9789462822924
DOIs
Publication statusPublished - 2019
Event81st EAGE Conference and Exhibition 2019 Workshop Programme - London, United Kingdom
Duration: 3 Jun 20196 Jun 2019

Conference

Conference81st EAGE Conference and Exhibition 2019 Workshop Programme
LandUnited Kingdom
ByLondon
Periode03/06/201906/06/2019
Series81st EAGE Conference and Exhibition 2019 Workshop Programme

ID: 241098353