Conditioning by Projection for the Sampling from Prior Gaussian Distributions

Abstract

In this work we are interested in the (ill-posed) inverse problem for absolute permeability characterization that arises in predictive modeling of porous media flows. We consider a Bayesian statistical framework with a preconditioned Markov Chain Monte Carlo (MCMC) algorithm for the solution of the inverse problem. Reduction of uncertainty can be accomplished by incorporating measurements at sparse locations (static data) in the prior distribution. We present a new method to condition Gaussian fields (the log of permeability fields) to available sparse measurements. A truncated Karhunen-Loève expansion (KLE) is used for dimension reduction. In the proposed method the imposition of static data is made through the projection of a sample (expressed as a vector of independent, identically distributed normal random variables) onto the nullspace of a data matrix, that is defined in terms of the KLE. The numerical implementation of the proposed method is straightforward. Through numerical experiments for a model of second-order elliptic equation, we show that the proposed method in multi-chain studies converges much faster than the MCMC method without conditioning. These studies indicate the importance of conditioning in accelerating the MCMC convergence.