1. Multi-step samplers for improving efficiency in probabilistic geophysical inference
- Author
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Christophe Barnes, Miguel Bosch, and Klaus Mosegaard
- Subjects
symbols.namesake ,Metropolis–Hastings algorithm ,Rejection sampling ,symbols ,Slice sampling ,Sampling (statistics) ,Geophysics ,Multiple-try Metropolis ,Likelihood function ,Importance sampling ,Statistics::Computation ,Mathematics ,Gibbs sampling - Abstract
Geophysical inference is characterized by non-linear relationships between model and data parameters, large model spaces describing spatial distributions of media properties, and intensive computations related to the numerical resolution of the forward problem. Although sampling approaches are convenient to solve such inverse problems, sometimes the involved computations are demanding. We consider here sampling techniques directed to improve the efficiency of sampling procedures in large real geophysical applications. We propose a sampling algorithm incorporating classical importance sampling within a two-step (or multistep) Markov chain sampler set-up. The first step of the algorithm is a Metropolis sampler ergodic to an importance density function and the second step is a Metropolis sampler correcting from the bias introduced by the importance density function; the combined algorithm samples the posterior probability density function asymptotically. The importance density is a combination of the prior density and an importance likelihood function, obtained as an approximation of the data likelihood function. Hence, the importance density is an approximation of the posterior density. Although rejection rates of the combined algorithm are larger than the rejection rates of the simple step Metropolis algorithm, the computational sampling efficiency is improved when the calculation of the importance density is much easier than the calculation of the actual posterior density. The algorithm is characterized by high acceptance rates in its second step because the first step serves as a barrier rejecting unlikely samples. Data likelihood approximations can be obtained in several ways : using simplified geophysical simulation, using the likelihood with partial (smaller) sets of the observed data, or using information obtained by preliminary analysis of the data. The technique has been successfully used for the inversion of phase arrival times from an offset vertical seismic profile (OVSP) data.
- Published
- 2005