Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings
 
research article

Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings

Madrigal Cianci, Juan Pablo  
•
Nobile, Fabio  
•
Tempone, Raul
2023
SIAM/ASA Journal on Uncertainty Quantification

In this work, we present, analyze, and implement a class of multilevel Markov chain Monte Carlo(ML-MCMC) algorithms based on independent Metropolis--Hastings proposals for Bayesian inverse problems. In this context, the likelihood function involves solving a complex differential model, which is then approximated on a sequence of increasingly accurate discretizations. The key point of this algorithm is to construct highly coupled Markov chains together with the standard multilevel Monte Carlo argument to obtain a better cost-tolerance complexity than a single-level MCMC algorithm. Our method extends the ideas of Dodwell et al., [SIAM/ASA J. Uncertain. Quantif.,3 (2015), pp. 1075--1108] to a wider range of proposal distributions. We present a thorough convergence analysis of the ML-MCMC method proposed, and show, in particular, that (i) under some mild conditions on the (independent) proposals and the family of posteriors, there exists a unique invariant probability measure for the coupled chains generated by our method, and (ii) that such coupled chains are uniformly ergodic. We also generalize the cost-tolerance theorem of Dodwell et al. to our wider class of ML-MCMC algorithms. Finally, we propose a self-tuning continuation-type ML-MCMC algorithm. The presented method is tested on an array of academic examples, where some of our theoretical results are numerically verified. These numerical experiments evidence how our extended ML-MCMC method is robust when targeting some pathological posteriors, for which some of the previously proposed ML-MCMC algorithms fail.

  • Files
  • Details
  • Metrics
Loading...
Thumbnail Image
Name

2023_MadrigalCianci_Nobile_Tempone_JUQ_MLMCMC.pdf

Type

Publisher

Version

Published version

Access type

restricted

License Condition

copyright

Size

1.29 MB

Format

Adobe PDF

Checksum (MD5)

7d5b4a983104278ebb4fe84c8c2b4081

Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés