Adaptive Bayesian Inference for Prediction

Abstract

Performing rigorous predictive simulation necessitates that all available data be incorporated into the modeling process in order to accurately quantify uncertainties in predictions of the model. Statistical Bayesian inference is the most commonly used approach for incorporating data into uncertainty estimates. Statistical Bayesian inference uses data and an assumed error model to inform posterior distributions of model input variables and model discrepancies. An explicit characterization of the posterior distribution is not formed, but rather methods such as Markov chain Monte-Carlo (MCMC) are used to draw samples from the posterior. These samples are then used to evaluate statistics, such as integrals, of predicted quantities of interest (QoI). Recently the authors have developed an alternative reformulation of Bayesian inference based upon a measure-theoretic inversion technique. Unlike traditional statistical Bayesian inference, this reformulation allows us to directly interrogate the posterior distribution and, consequently, to generate samples from the posterior without MCMC. In this work we use forward propagation uncertainty quantification techniques to reduce the cost of approximating the posterior distribution. Specifically we investigate goal-oriented adaptive sparse grid approximation methods. These adaptive methods concentrate high-fidelity model evaluations in regions of the parameter space that both significantly contribute to the uncertainty in specified QoI and are informed by the available data. Numerical results are presented to compare our approach with the standard statistical Bayesian approach and to demonstrate the effectiveness of the goal-oriented adaptivity.