Fast Algorithms for Bayesian Inversion

  • Sivaram Ambikasaran
  • Arvind K. Saibaba
  • Eric F. Darve
  • Peter K. Kitanidis
Conference paper
Part of the The IMA Volumes in Mathematics and its Applications book series (IMA, volume 156)

Abstract

In this article, we review a few fast algorithms for solving large-scale stochastic inverse problems using Bayesian methods. After a brief introduction to the Bayesian stochastic inverse methodology, we review the following computational techniques, to solve large scale problems: the fast Fourier transform, the fast multipole method (classical and a black-box version), and finallym the hierarchical matrix approach. We emphasize that this is mainly a survey paper presenting a few fast algorithms applicable to large-scale Bayesian inversion techniques, applicable to applications arising from geostatistics. The article is presented at a level accessible to graduate students and computational engineers. Hence, we mainly present the algorithmic ideas and theoretical results.

Keywords

Bayesian stochastic inverse modeling Large-scale problems Geostatistical estimation Numerical linear algebra Fast Fourier transform Ast multipole method Hierarchical matrices 

AMS(MOS) Subject Classifications

Primary 1234 5678 9101112 

Notes

Acknowledgements

The authors were supported by “NSF Award 0934596, Subsurface Imaging and Uncertainty Quantification,” “Army High Performance Computing Research Center” (AHPCRC, sponsored by the U.S. Army Research Laboratory under contract No. W911NF-07-2-0027) and “The Global Climate and Energy Project” (GCEP) at Stanford.

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  • Sivaram Ambikasaran
    • 1
  • Arvind K. Saibaba
    • 1
  • Eric F. Darve
    • 2
  • Peter K. Kitanidis
    • 3
  1. 1.Institute for Computational and Mathematical Engineering, Huang Engineering Center 053B, 475, Via OrtegaStanford UniversityStanfordUSA
  2. 2.Mechanical Engineering, Durand 209, 496, Lomita MallStanford UniversityStanfordUSA
  3. 3.Civil and Environmental EngineeringYang & Yamazaki Environment & Energy Building - MC 4020StanfordUSA

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