Tuesday, 28 May 2013

Efficient posterior exploration of a high-dimensional groundwater model from two-stage Markov chain Monte Carlo simulation and polynomial chaos expansion 28.5.13

Abstract
This study reports on two strategies for accelerating posterior inference of a highly parameterized and CPU-demanding groundwater flow model. Our method builds on previous stochastic collocation approaches, e.g., Marzouk and Xiu (2009) and Marzouk and Najm (2009), and uses generalized polynomial chaos (gPC) theory and dimensionality reduction to emulate the output of a large-scale groundwater flow model. The resulting surrogate model is CPU efficient and serves to explore the posterior distribution at a much lower computational cost using two-stage MCMC simulation. The case study reported in this paper demonstrates a two to five times speed-up in sampling efficiency.

Keywords
groundwater model; two-stage MCMC; polynomial chaos; high-parameter dimensionality

Reference
Laloy E, Rogiers B, Vrugt JA, Mallants D, Jacques D. 2013. Efficient posterior exploration of a high-dimensional groundwater model from two-stage MCMC simulation and polynomial chaos expansion. Water Resources Research 49(5): 2664–2682. Paper
5 Bart Rogiers: Efficient posterior exploration of a high-dimensional groundwater model from two-stage Markov chain Monte Carlo simulation and polynomial chaos expansion Abstract This study reports on two strategies for accelerating posterior inference of a highly parameterized and CPU-demanding groundwater...

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