This paper develops meshless methods for probabilistically describing discretisation error in the numerical solution of partial differential equations. This construction enables the solution of Bayesian inverse problems while accounting for the impact of the discretisation of the forward problem. In particular, this drives statistical inferences to be more conservative in the presence of significant solver error. Theoretical results are presented describing rates of convergence for the posteriors in both the forward and inverse problems. This method is tested on a challenging inverse problem with a nonlinear forward model.

1.
Igor
Cialenco
,
Gregory E
Fasshauer
, and
Qi
Ye
.
Approximation of stochastic partial differential equations by a kernel-based collocation method
.
International Journal of Computer Mathematics
,
89
(
18
):
2543
2561
, December
2012
.
2.
Jon
Cockayne
,
Chris
Oates
,
Tim
Sullivan
, and
Mark
Girolami
.
Probabilistic Meshless Methods for Partial Differential Equations and Bayesian Inverse Problems
. arXiv:1605.07811v1, May
2016
.
3.
Patrick R
Conrad
,
Mark
Girolami
,
Simo
Särkkä
,
Andrew
Stuart
, and
Konstantinos
Zygalakis
.
Statistical analysis of differential equations: introducing probability measures on numerical solutions
.
Statistics and Computing
,
2016
.
4.
Patrick E
Farrell
,
Asgeir
Birkisson
, and
Simon W
Funke
.
Deflation techniques for finding distinct solutions of nonlinear partial differential equations
.
SIAM Journal on Scientific Computing
,
37
(
4
):
A2026
A2045
,
2015
.
5.
Gregory E
Fasshauer
.
Solving differential equations with radial basis functions: multilevel methods and smoothing
.
Advances in Computational Mathematics
,
11
(
2-3
):
139
159
,
1999
.
6.
A
Gelman
.
Prior distributions for variance parameters in hierarchical models (comment on article by Browne and Draper
).
Bayesian analysis
,
1
(
3
):
515
534
,
2006
.
7.
Philipp
Hennig
,
Michael A
Osborne
, and
Mark
Girolami
.
Probabilistic numerics and uncertainty in computations
.
Proc R Soc A
,
471
(
2179
):
20150142
, July
2015
.
8.
Houman
Owhadi
.
Bayesian numerical homogenization
.
Multiscale Modeling & Simulation
,
13
(
3
):
812
828
,
2015
.
9.
Houman
Owhadi
.
Multigrid with rough coefficients and multiresolution operator decomposition from Hier-archical Information Games
. arXiv:1503.03467v4, March
2015
.
10.
Andrew M.
Stuart
.
Inverse problems: a Bayesian perspective
.
Acta Numer.
,
19
:
451
559
,
2010
. ISSN .
11.
Henryk
Woźniakowski
. What is information-based complexity? 
Essays on the complexity of continuous problems
, pages
89
95
,
2009
.
This content is only available via PDF.
You do not currently have access to this content.