Sampling Methods for Bayesian Inference Involving Convergent Noisy Approximations of Forward Maps
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We present Bayesian techniques for solving inverse problems which involve mean-square convergent random approximations of the forward map. Noisy approximations of the forward map arise in several fields, such as multiscale problems and probabilistic numerical methods. In these fields, a random approximation can enhance the quality or the efficiency of the inference procedure, but entails additional theoretical and computational difficulties due to the randomness of the forward map. A standard technique to address this issue is to combine Monte Carlo averaging with Markov chain Monte Carlo samplers, as for example in the pseudo-marginal Metropolis–Hastings methods. In this paper, we consider mean-square convergent random approximations, and quantify how Monte Carlo errors propagate from the forward map to the solution of the inverse problems. Moreover, we review and describe simple techniques to solve such inverse problems, and compare performances with a series of numerical experiments.
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