Tensor train approximation of deep transport maps for Bayesian inverse problems - (Sergey Dolgov, University of Bath)

16.12.2022 14:00 – 15:00

Tensor train approximation of deep transport maps for Bayesian inverse problems.

Characterising intractable high-dimensional random variables is one of the fundamental challenges in stochastic computation. We develop a deep transport map that is suitable for sampling concentrated distributions defined by an unnormalised density function. We approximate the target distribution as the pushforward of a reference distribution under a composition of order-preserving transformations, in which each transformation is formed by a tensor train decomposition. The use of composition of maps moving along a sequence of bridging densities alleviates the difficulty of directly approximating concentrated density functions. We propose two bridging strategies suitable for wide use: tempering the target density with a sequence of increasing powers, and smoothing of an indicator function with a sequence of sigmoids of increasing scales. The latter strategy opens the door to efficient computation of rare event probabilities in Bayesian inference problems. Numerical experiments on problems constrained by differential equations show little to no increase in the computational complexity with the event probability going to zero, and allow to compute hitherto unattainable estimates of rare event probabilities for complex, high-dimensional posterior densities.

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Bâtiment: Conseil Général 7-9

Conference room, 8th floor, Séminaire d'analyse numérique

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