In a Bayesian setting, inverse problems and uncertainty quantification (UQ) -
the propagation of uncertainty through a computational (forward) model - are
strongly connected. In the form of conditional expectation the Bayesian update
becomes computationally attractive. This is especially the case as together
with a functional or spectral approach for the forward UQ there is no need for
time-consuming and slowly convergent Monte Carlo sampling. The developed
sampling-free non-linear Bayesian update is derived from the variational
problem associated with conditional expectation. This formulation in general
calls for further discretisation to make the computation possible, and we
choose a polynomial approximation. After giving details on the actual
computation in the framework of functional or spectral approximations, we
demonstrate the workings of the algorithm on a number of examples of increasing
complexity. At last, we compare the linear and quadratic Bayesian update on the
small but taxing example of the chaotic Lorenz 84 model, where we experiment
with the influence of different observation or measurement operators on the
update.Comment: 25 pages, 17 figures. arXiv admin note: text overlap with
arXiv:1201.404
