Data-Consistent Inversion for Stochastic Input-to-Output Maps

Abstract

Data-consistent inversion is a recently developed measure-theoretic framework for solving a stochastic inverse problem involving models of physical systems. The goal is to construct a probability measure on model inputs (i.e., parameters of interest) whose associated push-forward measure matches (i.e., is consistent with) a probability measure on the observable outputs of the model (i.e., quantities of interest). Previous implementations required the map from parameters of interest to quantities of interest to be deterministic. This work generalizes this framework for maps that are stochastic, i.e., contain uncertainties and variation not explainable by variations in uncertain parameters of interest. Generalizations of previous theorems of existence, uniqueness, and stability of the data-consistent solution are provided while new theoretical results address the stability of marginals on parameters of interest. A notable aspect of the algorithmic generalization is the ability to query the solution to generate independent identically distributed samples of the parameters of interest without requiring knowledge of the so-called stochastic parameters. This work therefore extends the applicability of the data-consistent inversion framework to a much wider class of problems. This includes those based on purely experimental and field data where only a subset of conditions are either controllable or can be documented between experiments while the underlying physics, measurement errors, and any additional covariates are either uncertain or not accounted for by the researcher. Finally, numerical examples demonstrate application of this approach to systems with stochastic sources of uncertainties embedded within the modeling of a system and a numerical diagnostic is summarized that is useful for determining if a key assumption is verified among competing choices of stochastic maps.