An adaptive ANOVA stochastic Galerkin method for partial differential equations with random inputs

It is known that standard stochastic Galerkin methods encounter challenges when solving partial differential equations with high dimensional random inputs, which are typically caused by the large number of stochastic basis functions required. It becomes crucial to properly choose effective basis functions, such that the dimension of the stochastic approximation space can be reduced. In this work, we focus on the stochastic Galerkin approximation associated with generalized polynomial chaos (gPC), and explore the gPC expansion based on the analysis of variance (ANOVA) decomposition. A concise form of the gPC expansion is presented for each component function of the ANOVA expansion, and an adaptive ANOVA procedure is proposed to construct the overall stochastic Galerkin system. Numerical results demonstrate the efficiency of our proposed adaptive ANOVA stochastic Galerkin method

Domain-decomposed Bayesian inversion based on local Karhunen-Loève expansions

In many Bayesian inverse problems the goal is to recover a spatially varying random field. Such problems are often computationally challenging especially when the forward model is governed by complex partial differential equations (PDEs). The challenge is particularly severe when the spatial domain is large and the unknown random field needs to be represented by a high-dimensional parameter. In this paper, we present a domain-decomposed method to attack the dimensionality issue and the method decomposes the spatial domain and the parameter domain simultaneously. On each subdomain, a local Karhunen-Loève (KL) expansion is constructed, and a local inversion problem is solved independently in a parallel manner, and more importantly, in a lower-dimensional space. After local posterior samples are generated through conducting Markov chain Monte Carlo (MCMC) simulations on subdomains, a novel projection procedure is developed to effectively reconstruct the global field. In addition, the domain decomposition interface conditions are dealt with an adaptive Gaussian process-based fitting strategy. Numerical examples are provided to demonstrate the performance of the proposed method

Streaming data recovery via Bayesian tensor train decomposition

In this paper, we study a Bayesian tensor train (TT) decomposition method to recover streaming data by approximating the latent structure in high-order streaming data. Drawing on the streaming variational Bayes method, we introduce the TT format into Bayesian tensor decomposition methods for streaming data, and formulate posteriors of TT cores. Thanks to the Bayesian framework of the TT format, the proposed algorithm (SPTT) excels in recovering streaming data with high-order, incomplete, and noisy properties. The experiments in synthetic and real-world datasets show the accuracy of our method compared to state-of-the-art Bayesian tensor decomposition methods for streaming data

Domain-decomposed Bayesian inversion based on local Karhunen-Lo\`{e}ve expansions

In many Bayesian inverse problems the goal is to recover a spatially varying random field. Such problems are often computationally challenging especially when the forward model is governed by complex partial differential equations (PDEs). The challenge is particularly severe when the spatial domain is large and the unknown random field needs to be represented by a high-dimensional parameter. In this paper, we present a domain-decomposed method to attack the dimensionality issue and the method decomposes the spatial domain and the parameter domain simultaneously. On each subdomain, a local Karhunen-Lo`eve (KL) expansion is constructed, and a local inversion problem is solved independently in a parallel manner, and more importantly, in a lower-dimensional space. After local posterior samples are generated through conducting Markov chain Monte Carlo (MCMC) simulations on subdomains, a novel projection procedure is developed to effectively reconstruct the global field. In addition, the domain decomposition interface conditions are dealt with an adaptive Gaussian process-based fitting strategy. Numerical examples are provided to demonstrate the performance of the proposed method

An adaptive reduced basis ANOVA method forhigh-dimensional Bayesian inverse problems

In Bayesian inverse problems sampling the posterior distribution is often a challenging task when the underlying models are computationally intensive. To this end, surrogates or reduced models are often used to accelerate the computation. However, in many practical problems, the parameter of interest can be of high dimensionality, which renders standard model reduction techniques infeasible. In this paper, we present an approach that employs the ANOVA decomposition method to reduce the model with respect to the unknown parameters, and the reduced basis method to reduce the model with respect to the physical parameters. Moreover, we provide an adaptive scheme within the MCMC iterations, to perform the ANOVA decomposition with respect to the posterior distribution. With numerical examples, we demonstrate that the proposed model reduction method can significantly reduce the computational cost of Bayesian inverse problems, without sacrificing much accuracy