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Dimensionality reduction and polynomial chaos acceleration of Bayesian inference in inverse problems

Journal of Computational Physics

Marzouk, Youssef M.; Najm, H.N.

We consider a Bayesian approach to nonlinear inverse problems in which the unknown quantity is a spatial or temporal field, endowed with a hierarchical Gaussian process prior. Computational challenges in this construction arise from the need for repeated evaluations of the forward model (e.g., in the context of Markov chain Monte Carlo) and are compounded by high dimensionality of the posterior. We address these challenges by introducing truncated Karhunen-Loève expansions, based on the prior distribution, to efficiently parameterize the unknown field and to specify a stochastic forward problem whose solution captures that of the deterministic forward model over the support of the prior. We seek a solution of this problem using Galerkin projection on a polynomial chaos basis, and use the solution to construct a reduced-dimensionality surrogate posterior density that is inexpensive to evaluate. We demonstrate the formulation on a transient diffusion equation with prescribed source terms, inferring the spatially-varying diffusivity of the medium from limited and noisy data. © 2008 Elsevier Inc.

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A Bayesian method for inferring transmission chains in a partially observed epidemic

Ray, Jaideep R.; Marzouk, Youssef M.

We present a Bayesian approach for estimating transmission chains and rates in the Abakaliki smallpox epidemic of 1967. The epidemic affected 30 individuals in a community of 74; only the dates of appearance of symptoms were recorded. Our model assumes stochastic transmission of the infections over a social network. Distinct binomial random graphs model intra- and inter-compound social connections, while disease transmission over each link is treated as a Poisson process. Link probabilities and rate parameters are objects of inference. Dates of infection and recovery comprise the remaining unknowns. Distributions for smallpox incubation and recovery periods are obtained from historical data. Using Markov chain Monte Carlo, we explore the joint posterior distribution of the scalar parameters and provide an expected connectivity pattern for the social graph and infection pathway.

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Distributed micro-releases of bioterror pathogens : threat characterizations and epidemiology from uncertain patient observables

Adams, Brian M.; Devine, Karen D.; Najm, H.N.; Marzouk, Youssef M.

Terrorist attacks using an aerosolized pathogen preparation have gained credibility as a national security concern since the anthrax attacks of 2001. The ability to characterize the parameters of such attacks, i.e., to estimate the number of people infected, the time of infection, the average dose received, and the rate of disease spread in contemporary American society (for contagious diseases), is important when planning a medical response. For non-contagious diseases, we address the characterization problem by formulating a Bayesian inverse problem predicated on a short time-series of diagnosed patients exhibiting symptoms. To keep the approach relevant for response planning, we limit ourselves to 3.5 days of data. In computational tests performed for anthrax, we usually find these observation windows sufficient, especially if the outbreak model employed in the inverse problem is accurate. For contagious diseases, we formulated a Bayesian inversion technique to infer both pathogenic transmissibility and the social network from outbreak observations, ensuring that the two determinants of spreading are identified separately. We tested this technique on data collected from a 1967 smallpox epidemic in Abakaliki, Nigeria. We inferred, probabilistically, different transmissibilities in the structured Abakaliki population, the social network, and the chain of transmission. Finally, we developed an individual-based epidemic model to realistically simulate the spread of a rare (or eradicated) disease in a modern society. This model incorporates the mixing patterns observed in an (American) urban setting and accepts, as model input, pathogenic transmissibilities estimated from historical outbreaks that may have occurred in socio-economic environments with little resemblance to contemporary society. Techniques were also developed to simulate disease spread on static and sampled network reductions of the dynamic social networks originally in the individual-based model, yielding faster, though approximate, network-based epidemic models. These reduced-order models are useful in scenario analysis for medical response planning, as well as in computationally intensive inverse problems.

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Computationally efficient Bayesian inference for inverse problems

Marzouk, Youssef M.; Najm, H.N.; Rahn, Larry A.

Bayesian statistics provides a foundation for inference from noisy and incomplete data, a natural mechanism for regularization in the form of prior information, and a quantitative assessment of uncertainty in the inferred results. Inverse problems - representing indirect estimation of model parameters, inputs, or structural components - can be fruitfully cast in this framework. Complex and computationally intensive forward models arising in physical applications, however, can render a Bayesian approach prohibitive. This difficulty is compounded by high-dimensional model spaces, as when the unknown is a spatiotemporal field. We present new algorithmic developments for Bayesian inference in this context, showing strong connections with the forward propagation of uncertainty. In particular, we introduce a stochastic spectral formulation that dramatically accelerates the Bayesian solution of inverse problems via rapid evaluation of a surrogate posterior. We also explore dimensionality reduction for the inference of spatiotemporal fields, using truncated spectral representations of Gaussian process priors. These new approaches are demonstrated on scalar transport problems arising in contaminant source inversion and in the inference of inhomogeneous material or transport properties. We also present a Bayesian framework for parameter estimation in stochastic models, where intrinsic stochasticity may be intermingled with observational noise. Evaluation of a likelihood function may not be analytically tractable in these cases, and thus several alternative Markov chain Monte Carlo (MCMC) schemes, operating on the product space of the observations and the parameters, are introduced.

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Stochastic spectral methods for efficient Bayesian solution of inverse problems

Journal of Computational Physics

Marzouk, Youssef M.; Najm, H.N.; Rahn, Larry A.

We present a reformulation of the Bayesian approach to inverse problems, that seeks to accelerate Bayesian inference by using polynomial chaos (PC) expansions to represent random variables. Evaluation of integrals over the unknown parameter space is recast, more efficiently, as Monte Carlo sampling of the random variables underlying the PC expansion. We evaluate the utility of this technique on a transient diffusion problem arising in contaminant source inversion. The accuracy of posterior estimates is examined with respect to the order of the PC representation, the choice of PC basis, and the decomposition of the support of the prior. The computational cost of the new scheme shows significant gains over direct sampling. © 2006 Elsevier Inc. All rights reserved.

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Bayesian methods for estimating the reliability in complex hierarchical networks (interim report)

Marzouk, Youssef M.; Pebay, Philippe P.; Red-Horse, John R.; Diegert, Kathleen V.; Zurn, Rena M.

Current work on the Integrated Stockpile Evaluation (ISE) project is evidence of Sandia's commitment to maintaining the integrity of the nuclear weapons stockpile. In this report, we undertake a key element in that process: development of an analytical framework for determining the reliability of the stockpile in a realistic environment of time-variance, inherent uncertainty, and sparse available information. This framework is probabilistic in nature and is founded on a novel combination of classical and computational Bayesian analysis, Bayesian networks, and polynomial chaos expansions. We note that, while the focus of the effort is stockpile-related, it is applicable to any reasonably-structured hierarchical system, including systems with feedback.

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A Bayesian method for characterizing distributed micro-releases: II. inference under model uncertainty with short time-series data

Marzouk, Youssef M.

Terrorist attacks using an aerosolized pathogen preparation have gained credibility as a national security concern after the anthrax attacks of 2001. The ability to characterize such attacks, i.e., to estimate the number of people infected, the time of infection, and the average dose received, is important when planning a medical response. We address this question of characterization by formulating a Bayesian inverse problem predicated on a short time-series of diagnosed patients exhibiting symptoms. To be of relevance to response planning, we limit ourselves to 3-5 days of data. In tests performed with anthrax as the pathogen, we find that these data are usually sufficient, especially if the model of the outbreak used in the inverse problem is an accurate one. In some cases the scarcity of data may initially support outbreak characterizations at odds with the true one, but with sufficient data the correct inferences are recovered; in other words, the inverse problem posed and its solution methodology are consistent. We also explore the effect of model error-situations for which the model used in the inverse problem is only a partially accurate representation of the outbreak; here, the model predictions and the observations differ by more than a random noise. We find that while there is a consistent discrepancy between the inferred and the true characterizations, they are also close enough to be of relevance when planning a response.

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Actuating transverse jets via nozzle-edge vortical perturbations

Collection of Technical Papers - 44th AIAA Aerospace Sciences Meeting

Marzouk, Youssef M.; Ghoniem, Ahmed F.

The trajectory and entrainment properties of a transverse jet are important to a variety of engineering applications. This study seeks to develop actuation strategies that manipulate the penetration, spread, and vortical structures of the tranverse jet, based on simple vorticity perturbations at the nozzle edge. We use three-dimensional vortex simulations of a transverse jet at high Reynolds number to examine four prototypical actuations, all at a jet-to-crossflow velocity ratio of r = 7. These actuations include a delta-tab on the windward edge of the jet nozzle as well as periodic modulations and inversions of wall-normal vorticity in the shear layer. Small modifications to the vorticity on nascent shear layer are found to have a significant impact on the jet evolution - creating jets that remain confined and penetrate further into the crossflow, or, alternately, jets that quickly spread in the spanwise direction and bend downstream. Vorticity perturbations also hasten or delay the formation of counter-rotating vorticity by modifying the folding of shear-layer segments.

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Meaningful statistical analysis of large computational clusters

Gentile, Ann C.; Marzouk, Youssef M.; Pebay, Philippe P.

Effective monitoring of large computational clusters demands the analysis of a vast amount of raw data from a large number of machines. The fundamental interactions of the system are not, however, well-defined, making it difficult to draw meaningful conclusions from this data, even if one were able to efficiently handle and process it. In this paper we show that computational clusters, because they are comprised of a large number of identical machines, behave in a statistically meaningful fashion. We therefore can employ normal statistical methods to derive information about individual systems and their environment and to detect problems sooner than with traditional mechanisms. We discuss design details necessary to use these methods on a large system in a timely and low-impact fashion.

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20 Results
20 Results