arXiv:2411.12726math.NAcs.LG2024-11被引 9

用代理模型加速贝叶斯反演,1000次采样内就比传统方法快得多

LazyDINO: Fast, scalable, and efficiently amortized Bayesian inversion via structure-exploiting and surrogate-driven measure transport

  • 构建带导数信息的神经代理模型,降低反演误差上界
  • 在线阶段用结构化映射快速生成后验样本,仅需1000次离线采样
  • 适合高维非线性反演,特别适合计算昂贵的参数到观测映射场景

我们提出LazyDINO,一种基于传输映射的变分推断方法,用于高效解决高维非线性贝叶斯反演问题,尤其适用于计算代价高昂的参数-观测(PtO)映射。该方法包含离线阶段:利用PtO映射及其雅可比矩阵的联合采样,构建导数感知的神经代理模型。在线阶段,给定观测数据后,通过代理驱动的懒惰映射训练(lazy map)实现快速后验近似,即一种具有低维非线性结构的高效传输映射。训练后的懒惰映射可生成近似后验样本或密度估计。我们的代理构造针对懒惰映射变分推断中的成本摊销进行了优化。结果表明:(i) 基于导数的降维基架构最小化了后验近似误差的期望上界;(ii) 导数感知训练形式最小化了由代理驱动的传输映射优化带来的期望误差。数值实验显示,与基于模拟的条件传输及传统代理驱动方法相比,LazyDINO在准确后验近似下可降低一到两个数量级的离线成本。尤其在使用少于1000次离线采样时,其性能持续优于拉普拉斯近似,而其他摊销推断方法在16,000次采样下仍可能失败或表现不佳。

原文摘要 · Abstract (English)

We present LazyDINO, a transport map variational inference method for fast, scalable, and efficiently amortized solutions of high-dimensional nonlinear Bayesian inverse problems with expensive parameter-to-observable (PtO) maps. Our method consists of an offline phase in which we construct a derivative-informed neural surrogate of the PtO map using joint samples of the PtO map and its Jacobian. During the online phase, when given observational data, we seek rapid posterior approximation using surrogate-driven training of a lazy map [Brennan et al., NeurIPS, (2020)], i.e., a structure-exploiting transport map with low-dimensional nonlinearity. The trained lazy map then produces approximate posterior samples or density evaluations. Our surrogate construction is optimized for amortized Bayesian inversion using lazy map variational inference. We show that (i) the derivative-based reduced basis architecture [O'Leary-Roseberry et al., Comput. Methods Appl. Mech. Eng., 388 (2022)] minimizes the upper bound on the expected error in surrogate posterior approximation, and (ii) the derivative-informed training formulation [O'Leary-Roseberry et al., J. Comput. Phys., 496 (2024)] minimizes the expected error due to surrogate-driven transport map optimization. Our numerical results demonstrate that LazyDINO is highly efficient in cost amortization for Bayesian inversion. We observe one to two orders of magnitude reduction of offline cost for accurate posterior approximation, compared to simulation-based amortized inference via conditional transport and conventional surrogate-driven transport. In particular, LazyDINO outperforms Laplace approximation consistently using fewer than 1000 offline samples, while other amortized inference methods struggle and sometimes fail at 16,000 offline samples.

贝叶斯反演代理模型变分推断高维优化

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