Adaptive reduced tempering For Bayesian inverse problems and rare event simulation

Abstract: This work proposes an adaptive sequential Monte Carlo sampling algorithm for solving inverse Bayesian problems in a context where a (costly) likelihood evaluation can be approximated by a surrogate, constructed from previous evaluations of the true likelihood. A rough error estimation of the obtained surrogates is required. The method is based on an adaptive sequential Monte-Carlo (SMC) simulation that jointly adapts the likelihood approximations and a standard tempering scheme of the target posterior distribution. This algorithm is well-suited to cases where the posterior is concentrated in a rare and unknown region of the prior. It is also suitable for solving low-temperature and rare-event simulation problems. The main contribution is to propose an entropy criteria that associates to the accuracy of the current surrogate a maximum inverse temperature for the likelihood approximation. The latter is used to sample a so-called snapshot, perform an exact likelihood evaluation, and update the surrogate and its error quantification. Some consistency results are presented in an idealized framework of the proposed algorithm. Our numerical experiments use in particular a reduced basis approach to construct approximate parametric solutions of a partially observed solution of an elliptic Partial Differential Equation. They demonstrate the convergence of the algorithm and show a significant cost reduction (close to a factor $10$) for comparable accuracy.