On global normal linear approximations for nonlinear Bayesian inverse problems

• Published in: Inverse problems 2023-05, Vol.39 (5), p.54001
• Main Authors: Nicholson, Ruanui, Petra, Noémi, Villa, Umberto, Kaipio, Jari P
• Format: Article
• Language: English
• Subjects: Bayesian approximation errors; Bayesian inference; inverse problems governed by PDEs; linear approximation; model errors; uncertainty quantification
• ISSN: 0266-5611; 1361-6420
• DOI: 10.1088/1361-6420/acc129

The replacement of a nonlinear parameter-to-observable mapping with a linear (affine) approximation is often carried out to reduce the computational costs associated with solving large-scale inverse problems governed by partial differential equations (PDEs). In the case of a linear parameter-to-observable mapping with normally distributed additive noise and a Gaussian prior measure on the parameters, the posterior is Gaussian. However, substituting an accurate model for a (possibly well justified) linear surrogate model can give misleading results if the induced model approximation error is not accounted for. To account for the errors, the Bayesian approximation error (BAE) approach can be utilised, in which the first and second order statistics of the errors are computed via sampling. The most common linear approximation is carried out via linear Taylor expansion, which requires the computation of (Fréchet) derivatives of the parameter-to-observable mapping with respect to the parameters of interest. In this paper, we prove that the (approximate) posterior measure obtained by replacing the nonlinear parameter-to-observable mapping with a linear approximation is in fact independent of the choice of the linear approximation when the BAE approach is employed. Thus, somewhat non-intuitively, employing the zero-model as the linear approximation gives the same approximate posterior as any other choice of linear approximations of the parameter-to-observable model. The independence of the linear approximation is demonstrated mathematically and illustrated with two numerical PDE-based problems: an inverse scattering type problem and an inverse conductivity type problem.