Ensemble-based implicit sampling for Bayesian inverse problems with non-Gaussian priors

In the paper, we develop an ensemble-based implicit sampling method for Bayesian inverse problems. For Bayesian inference, the iterative ensemble smoother (IES) and implicit sampling are integrated to obtain importance ensemble samples, which build an importance density. The proposed method shares a similar idea to importance sampling. IES is used to approximate mean and covariance of a posterior distribution. This provides the MAP point and the inverse of Hessian matrix, which are necessary to construct the implicit map in implicit sampling. The importance samples are generated by the implicit map and the corresponding weights are the ratio between the importance density and posterior density. In the proposed method, we use the ensemble samples of IES to find the optimization solution of likelihood function and the inverse of Hessian matrix. This approach avoids the explicit computation for Jacobian matrix and Hessian matrix, which are very computationally expensive in high dimension spaces. To treat non-Gaussian models, discrete cosine transform and Gaussian mixture model are used to characterize the non-Gaussian priors. The ensemble-based implicit sampling method is extended to the non-Gaussian priors for exploring the posterior of unknowns in inverse problems. The proposed method is used for each individual Gaussian model in the Gaussian mixture model. The proposed approach substantially improves the applicability of implicit sampling method. A few numerical examples are presented to demonstrate the efficacy of the proposed method with applications of inverse problems for subsurface flow problems and anomalous diffusion models in porous media.Comment: 27 page

Neural Ideal Large Eddy Simulation: Modeling Turbulence with Neural Stochastic Differential Equations

We introduce a data-driven learning framework that assimilates two powerful ideas: ideal large eddy simulation (LES) from turbulence closure modeling and neural stochastic differential equations (SDE) for stochastic modeling. The ideal LES models the LES flow by treating each full-order trajectory as a random realization of the underlying dynamics, as such, the effect of small-scales is marginalized to obtain the deterministic evolution of the LES state. However, ideal LES is analytically intractable. In our work, we use a latent neural SDE to model the evolution of the stochastic process and an encoder-decoder pair for transforming between the latent space and the desired ideal flow field. This stands in sharp contrast to other types of neural parameterization of closure models where each trajectory is treated as a deterministic realization of the dynamics. We show the effectiveness of our approach (niLES - neural ideal LES) on a challenging chaotic dynamical system: Kolmogorov flow at a Reynolds number of 20,000. Compared to competing methods, our method can handle non-uniform geometries using unstructured meshes seamlessly. In particular, niLES leads to trajectories with more accurate statistics and enhances stability, particularly for long-horizon rollouts.Comment: 18 page

Multiscale modeling for fluid transport in nanosystems.

Atomistic-scale behavior drives performance in many micro- and nano-fluidic systems, such as mircrofludic mixers and electrical energy storage devices. Bringing this information into the traditionally continuum models used for engineering analysis has proved challenging. This work describes one such approach to address this issue by developing atomistic-to-continuum multi scale and multi physics methods to enable molecular dynamics (MD) representations of atoms to incorporated into continuum simulations. Coupling is achieved by imposing constraints based on fluxes of conserved quantities between the two regions described by one of these models. The impact of electric fields and surface charges are also critical, hence, methodologies to extend finite-element (FE) MD electric field solvers have been derived to account for these effects. Finally, the continuum description can have inconsistencies with the coarse-grained MD dynamics, so FE equations based on MD statistics were derived to facilitate the multi scale coupling. Examples are shown relevant to nanofluidic systems, such as pore flow, Couette flow, and electric double layer