Learning to solve Bayesian inverse problems: An amortized variational inference approach using Gaussian and Flow guides
CoRR(2023)
摘要
Inverse problems, i.e., estimating parameters of physical models from
experimental data, are ubiquitous in science and engineering. The Bayesian
formulation is the gold standard because it alleviates ill-posedness issues and
quantifies epistemic uncertainty. Since analytical posteriors are not typically
available, one resorts to Markov chain Monte Carlo sampling or approximate
variational inference. However, inference needs to be rerun from scratch for
each new set of data. This drawback limits the applicability of the Bayesian
formulation to real-time settings, e.g., health monitoring of engineered
systems, and medical diagnosis. The objective of this paper is to develop a
methodology that enables real-time inference by learning the Bayesian inverse
map, i.e., the map from data to posteriors. Our approach is as follows. We
parameterize the posterior distribution as a function of data. This work
outlines two distinct approaches to do this. The first method involves
parameterizing the posterior using an amortized full-rank Gaussian guide,
implemented through neural networks. The second method utilizes a Conditional
Normalizing Flow guide, employing conditional invertible neural networks for
cases where the target posterior is arbitrarily complex. In both approaches, we
learn the network parameters by amortized variational inference which involves
maximizing the expectation of evidence lower bound over all possible datasets
compatible with the model. We demonstrate our approach by solving a set of
benchmark problems from science and engineering. Our results show that the
posterior estimates of our approach are in agreement with the corresponding
ground truth obtained by Markov chain Monte Carlo. Once trained, our approach
provides the posterior distribution for a given observation just at the cost of
a forward pass of the neural network.
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关键词
bayesian inverse problems,learning
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