Solving probabilistic inverse problems rapidly with prior samples

Abstract

Owing to the increasing availability of computational resources, in recent years the probabilistic solution of non-linear, geophysical inverse problems by means of sampling methods has become increasingly feasible. Nevertheless, we still face situations in which a Monte Carlo approach is not practical. This is particularly true in cases where the evaluation of the forward problem is computationally intensive or where inversions have to be carried out repeatedly or in a timely manner, as in natural hazards monitoring tasks such as earthquake early warning. Here, we present an alternative to Monte Carlo sampling, in which inferences are entirely based on a set of prior samples—that is, samples that have been obtained independent of a particular observed datum. This has the advantage that the computationally expensive sampling stage becomes separated from the inversion stage, and the set of prior samples—once obtained—can be reused for repeated evaluations of the inverse mapping without additional computational effort. This property is useful if the problem is such that repeated inversions of independent data have to be carried out. We formulate the inverse problem in a Bayesian framework and present a practical way to make posterior inferences based on a set of prior samples. We compare the prior sampling based approach to a Markov Chain Monte Carlo approach that samples from the posterior probability distribution. We show results for both a toy example, and a realistic seismological source parameter estimation problem. We find that the posterior uncertainty estimates obtained based on prior sampling can be considered conservative estimates of the uncertainties obtained by directly sampling from the posterior distribution. Show more