Accelerating the Bayesian inference of inverse problems by using data-driven compressive sensing method based on proper orthogonal decomposition

Abstract

In Bayesian inverse problems, using the Markov Chain Monte Carlo method to sample from the posterior space of unknown parameters is a formidable challenge due to the requirement of evaluating the forward model a large number of times. For the purpose of accelerating the inference of the Bayesian inverse problems, in this work, we present a proper orthogonal decomposition (POD) based data-driven compressive sensing (DCS) method and construct a low dimensional approximation to the stochastic surrogate model on the prior support. Specifically, we first use POD to generate a reduced order model. Then we construct a compressed polynomial approximation by using a stochastic collocation method based on the generalized polynomial chaos expansion and solving an l 1 -minimization problem. Rigorous error analysis and coefficient estimation was provided. Numerical experiments on stochastic elliptic inverse problem were performed to verify the effectiveness of our POD-DCS method.