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  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.

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Type
research article
DOI
10.1137/21M1420927
ArXiv ID

2105.02035

Author(s)
Madrigal Cianci, Juan Pablo  
Nobile, Fabio  
Tempone, Raul
Date Issued

2023

Published in
SIAM/ASA Journal on Uncertainty Quantification
Volume

11

Issue

1

Start page

91

End page

138

Subjects

Bayesian inversion

•

multilevel Monte Carlo

•

Markov chain Monte Carlo

•

uncertainty quantification

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSQI  
FunderGrant Number

École polytechnique fédérale de Lausanne (EPFL)

SDSC grant P18-09

RelationURL/DOI

IsNewVersionOf

https://infoscience.epfl.ch/record/285467
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/195522
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