Exploiting network topology for large-scale inference of nonlinear reaction models

The development of chemical reaction models aids understanding and prediction in areas ranging from biology to electrochemistry and combustion. A systematic approach to building reaction network models uses observational data not only to estimate unknown parameters, but also to learn model structure. Bayesian inference provides a natural approach to this data-driven construction of models. Yet traditional Bayesian model inference methodologies that numerically evaluate the evidence for each model are often infeasible for nonlinear reaction network inference, as the number of plausible models can be combinatorially large. Alternative approaches based on model-space sampling can enable large-scale network inference, but their realization presents many challenges. In this paper, we present new computational methods that make large-scale nonlinear network inference tractable. First, we exploit the topology of networks describing potential interactions among chemical species to design improved "between-model" proposals for reversible-jump Markov chain Monte Carlo. Second, we introduce a sensitivity-based determination of move types which, when combined with network-aware proposals, yields significant additional gains in sampling performance. These algorithms are demonstrated on inference problems drawn from systems biology, with nonlinear differential equation models of species interactions

MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structure

Markov chain Monte Carlo (MCMC) samplers are numerical methods for drawing samples from a given target probability distribution. We discuss one particular MCMC sampler, the MALA-within-Gibbs sampler, from the theoretical and practical perspectives. We first show that the acceptance ratio and step size of this sampler are independent of the overall problem dimension when (i) the target distribution has sparse conditional structure, and (ii) this structure is reflected in the partial updating strategy of MALA-within-Gibbs. If, in addition, the target density is blockwise log-concave, then the sampler's convergence rate is independent of dimension. From a practical perspective, we expect that MALA-within-Gibbs is useful for solving high-dimensional Bayesian inference problems where the posterior exhibits sparse conditional structure at least approximately. In this context, a partitioning of the state that correctly reflects the sparse conditional structure must be found, and we illustrate this process in two numerical examples. We also discuss trade-offs between the block size used for partial updating and computational requirements that may increase with the number of blocks

Efficient Localization of Discontinuities in Complex Computational Simulations

Surrogate models for computational simulations are input-output approximations that allow computationally intensive analyses, such as uncertainty propagation and inference, to be performed efficiently. When a simulation output does not depend smoothly on its inputs, the error and convergence rate of many approximation methods deteriorate substantially. This paper details a method for efficiently localizing discontinuities in the input parameter domain, so that the model output can be approximated as a piecewise smooth function. The approach comprises an initialization phase, which uses polynomial annihilation to assign function values to different regions and thus seed an automated labeling procedure, followed by a refinement phase that adaptively updates a kernel support vector machine representation of the separating surface via active learning. The overall approach avoids structured grids and exploits any available simplicity in the geometry of the separating surface, thus reducing the number of model evaluations required to localize the discontinuity. The method is illustrated on examples of up to eleven dimensions, including algebraic models and ODE/PDE systems, and demonstrates improved scaling and efficiency over other discontinuity localization approaches

Data-Driven Model Reduction for the Bayesian Solution of Inverse Problems

One of the major challenges in the Bayesian solution of inverse problems governed by partial differential equations (PDEs) is the computational cost of repeatedly evaluating numerical PDE models, as required by Markov chain Monte Carlo (MCMC) methods for posterior sampling. This paper proposes a data-driven projection-based model reduction technique to reduce this computational cost. The proposed technique has two distinctive features. First, the model reduction strategy is tailored to inverse problems: the snapshots used to construct the reduced-order model are computed adaptively from the posterior distribution. Posterior exploration and model reduction are thus pursued simultaneously. Second, to avoid repeated evaluations of the full-scale numerical model as in a standard MCMC method, we couple the full-scale model and the reduced-order model together in the MCMC algorithm. This maintains accurate inference while reducing its overall computational cost. In numerical experiments considering steady-state flow in a porous medium, the data-driven reduced-order model achieves better accuracy than a reduced-order model constructed using the classical approach. It also improves posterior sampling efficiency by several orders of magnitude compared to a standard MCMC method

Localization for MCMC: sampling high-dimensional posterior distributions with local structure

We investigate how ideas from covariance localization in numerical weather prediction can be used in Markov chain Monte Carlo (MCMC) sampling of high-dimensional posterior distributions arising in Bayesian inverse problems. To localize an inverse problem is to enforce an anticipated "local" structure by (i) neglecting small off-diagonal elements of the prior precision and covariance matrices; and (ii) restricting the influence of observations to their neighborhood. For linear problems we can specify the conditions under which posterior moments of the localized problem are close to those of the original problem. We explain physical interpretations of our assumptions about local structure and discuss the notion of high dimensionality in local problems, which is different from the usual notion of high dimensionality in function space MCMC. The Gibbs sampler is a natural choice of MCMC algorithm for localized inverse problems and we demonstrate that its convergence rate is independent of dimension for localized linear problems. Nonlinear problems can also be tackled efficiently by localization and, as a simple illustration of these ideas, we present a localized Metropolis-within-Gibbs sampler. Several linear and nonlinear numerical examples illustrate localization in the context of MCMC samplers for inverse problems.Comment: 33 pages, 5 figure

A continuous analogue of the tensor-train decomposition

We develop new approximation algorithms and data structures for representing and computing with multivariate functions using the functional tensor-train (FT), a continuous extension of the tensor-train (TT) decomposition. The FT represents functions using a tensor-train ansatz by replacing the three-dimensional TT cores with univariate matrix-valued functions. The main contribution of this paper is a framework to compute the FT that employs adaptive approximations of univariate fibers, and that is not tied to any tensorized discretization. The algorithm can be coupled with any univariate linear or nonlinear approximation procedure. We demonstrate that this approach can generate multivariate function approximations that are several orders of magnitude more accurate, for the same cost, than those based on the conventional approach of compressing the coefficient tensor of a tensor-product basis. Our approach is in the spirit of other continuous computation packages such as Chebfun, and yields an algorithm which requires the computation of "continuous" matrix factorizations such as the LU and QR decompositions of vector-valued functions. To support these developments, we describe continuous versions of an approximate maximum-volume cross approximation algorithm and of a rounding algorithm that re-approximates an FT by one of lower ranks. We demonstrate that our technique improves accuracy and robustness, compared to TT and quantics-TT approaches with fixed parameterizations, of high-dimensional integration, differentiation, and approximation of functions with local features such as discontinuities and other nonlinearities