Sequential Entropic Optimal Transport for Bayesian Inverse Problems via Multilevel Monte Carlo

Abstract

We consider the problem of Bayesian estimation associated to inverse problems governed by partial differential equations (PDEs). In most cases of practical interest, one must use numerical solvers to implement computational methods based on Monte Carlo methods. This inevitably leads to an adaptation of multilevel Monte Carlo (MLMC) methods to reduce computational efforts to achieve a pre-specified mean square error (MSE). MLMC is based on sampling coupled versions of Bayesian posteriors associated to increasingly precise numerical solves of the PDE. In this article we present a novel method to implement MLMC based upon sequential entropic optimal transport couplings learned with light Schrödinger bridges, and correct the transport with Metropolis--Hastings steps that preserve the pairing. We bound the mean square error associated to a version of our new estimation method and show, for an elliptic inverse problem, that to achieve a MSE of $\mathcal{O}(δ^2)$ ($δ>0$) one can have an optimal cost of $\mathcal{O}(δ^{-2})$. The results feature explicit bounds on the effect of the fitted transport and of the Metropolis--Hastings correction. From a numerical perspective, on elliptic, Darcy-flow and Navier-Stokes problems, the method reduces the variance of the most precise solver by a factor of five to ten and is faster than multilevel sequential Monte Carlo [arXiv:1503.07259] at tight accuracies.