Hierarchical Gaussian Random Fields for Multilevel Markov Chain Monte Carlo: Coupling Stochastic Partial Differential Equation and The Karhunen-Loève Decomposition

Abstract

This work introduces structure preserving hierarchical decompositions for sampling Gaussian random fields (GRF) within the context of multilevel Bayesian inference in high-dimensional space. Existing scalable hierarchical sampling methods, such as those based on stochastic partial differential equation (SPDE), often reduce the dimensionality of the sample space at the cost of accuracy of inference. Other approaches, such that those based on Karhunen-Loève (KL) expansions, offer sample space dimensionality reduction but sacrifice GRF representation accuracy and ergodicity of the Markov Chain Monte Carlo (MCMC) sampler, and are computationally expensive for high-dimensional problems. The proposed method integrates the dimensionality reduction capabilities of KL expansions with the scalability of stochastic partial differential equation (SPDE)-based sampling, thereby providing a robust, unified framework for high-dimensional uncertainty quantification (UQ) that is scalable, accurate, preserves ergodicity, and offers dimensionality reduction of the sample space. The hierarchy in our multilevel algorithm is derived from the geometric multigrid hierarchy. By constructing a hierarchical decomposition that maintains the covariance structure across the levels in the hierarchy, the approach enables efficient coarse-to-fine sampling while ensuring that all samples are drawn from the desired distribution. The effectiveness of the proposed method is demonstrated on a benchmark subsurface flow problem, demonstrating its effectiveness in improving computational efficiency and statistical accuracy. Our proposed technique is more efficient, accurate, and displays better convergence properties than existing methods for high-dimensional Bayesian inference problems.