This thesis studies novel and efficient computational sampling methods for appli- cations in three types of stochastic inversion problems: seismic waveform inversion, filtering problems, and static parameter estimation.
A primary goal of a large class of seismic inverse problems is to detect parameters that characterize an earthquake. We are interested to solve this task by analyzing the full displacement time series at a given set of seismographs, but approaching the full waveform inversion with the standard Monte Carlo (MC) method is prohibitively expensive. So we study tools that can make this computation feasible. As part of the inversion problem, we must evaluate the misfit between recorded and synthetic seismograms efficiently. We employ as misfit function the Wasserstein metric origi- nally suggested to measure the distance between probability distributions, which is becoming increasingly popular in seismic inversion. To compute the expected values of the misfits, we use a sampling algorithm called Multi-Level Monte Carlo (MLMC). MLMC performs most of the sampling at a coarse space-time resolution, with only a few corrections at finer scales, without compromising the overall accuracy.
We further investigate the Wasserstein metric and MLMC method in the context of filtering problems for partially observed diffusions with observations at periodic time intervals. Particle filters can be enhanced by considering hierarchies of discretizations to reduce the computational effort to achieve a given tolerance. This methodology is called Multi-Level Particle Filter (MLPF). However, particle filters, and consequently MLPFs, suffer from particle ensemble collapse, which requires the implementation of a resampling step. We suggest for one-dimensional processes a resampling procedure
based on optimal Wasserstein coupling. We show that it is beneficial in terms of computational costs compared to standard resampling procedures.
Finally, we consider static parameter estimation for a class of continuous-time state-space models. Unbiasedness of the gradient of the log-likelihood is an important property for gradient ascent (descent) methods to ensure their convergence. We propose a novel unbiased estimator of the gradient of the log-likelihood based on a double-randomization scheme. We use this estimator in the stochastic gradient ascent method to recover unknown parameters of the dynamics.
| Identifer | oai:union.ndltd.org:kaust.edu.sa/oai:repository.kaust.edu.sa:10754/675299 |
| Date | 02 February 2022 |
| Creators | Ballesio, Marco |
| Contributors | Tempone, Raul, Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division, Mai, Paul Martin, Jasra, Ajay, Nobile, Fabio |
| Source Sets | King Abdullah University of Science and Technology |
| Language | English |
| Detected Language | English |
| Type | Dissertation |
Page generated in 0.0023 seconds