Estimating systematic errors in Bayesian inversion using transport maps

Abstract

In indirect measurements, the sought parameters have to be determined by solving an inverse problem, typically in a Bayesian framework. Often, the accurate numerical simulation of the measuring process is computationally demanding, making it necessary to rely on approximate models. These surrogates, however, introduce an additional model error and thus may distort the resulting parameter distribution. Moreover, even with the additional speed granted by the surrogate, posterior determination through conventional means such as Markov chain Monte Carlo might be cost intensive, specifically for complicated posterior shapes. In this paper, we propose a unified framework that combines Bayesian inference, model error correction and a transport-based sampling scheme to address these issues. To train the transport scheme, we investigate two different losses: one equivalent to the Kullback-Leibler divergence associated to the transport problem and one based on an upper bound of this loss, generally known as the evidence lower bound. We demonstrate that training the transport based on the latter changes the optimisation landscape drastically, potentially introducing an undesired bias in approximating the target posterior. We compare the computational cost of our approach with established methods and underline the theoretical results with numerical examples.