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Applied Math Graduate Student Seminar:John Darges, NC State, Goal-Oriented Variance-Based Sensitivity Analysis for Uncovering Prior Hyperparameter Importance in Bayesian Inverse Problems s

October 2, 2023 | 3:00 pm - 4:00 pm EDT

The formulation of Bayesian inverse problems involves choosing prior distributions; choices that seem equally reasonable may lead to significantly different conclusions. We develop a computational approach to better understand the impact of the hyperparameters defining the prior on the posterior statistics of the quantities of interest. Our approach relies on global sensitivity analysis (GSA) of Bayesian inverse problems with respect to the hyperparameters defining the prior. This, however, is a challenging problem—a naive double loop sampling approach would require running a prohibitive number of Markov chain Monte Carlo (MCMC) sampling procedures. The present work takes a foundational step in making such a sensitivity analysis practical through (i) a judicious combination of efficient surrogate models and (ii) a tailored importance sampling method. In particular, we can perform accurate GSA of posterior prediction statistics with respect to prior hyperparameters without having to repeat MCMC runs. We demonstrate the effectiveness of the approach on a simple Bayesian linear inverse problem and a nonlinear inverse problem governed by an epidemiological model.


October 2, 2023
3:00 pm - 4:00 pm EDT
Event Category:


SAS 4201