Bayesian inference via geometric optics approximation
<|reference_start|>Bayesian inference via geometric optics approximation: Markov chain Monte Carlo (MCMC) simulations have been widely used to generate samples from the complex posterior distribution in Bayesian inferences. However, these simulations often require multiple computations of the forward model in the likelihood function for each drawn sample. This computational burden renders MCMC sampling impractical when the forward model is computationally expensive, such as in the case of partial differential equation models. In this paper, we propose a novel sampling approach called the geometric optics approximation method (GOAM) for Bayesian inverse problems, which entirely circumvents the need for MCMC simulations. Our method is rooted in the problem of reflector shape design, which focuses on constructing a reflecting surface that redirects rays from a source, with a predetermined density, towards a target domain while achieving a desired density distribution. The key idea is to consider the unnormalized Bayesian posterior as the density on the target domain within the optical system and define a geometric optics approximation measure with respect to posterior by a reflecting surface. Consequently, once such a reflecting surface is obtained, we can utilize it to draw an arbitrary number of independent and uncorrelated samples from the posterior measure for Bayesian inverse problems. In theory, we have shown that the geometric optics approximation measure is well-posed. The efficiency and robustness of our proposed sampler, employing the geometric optics approximation method, are demonstrated through several numerical examples provided in this paper.<|reference_end|>
@article{sun2024bayesian,
    title={Bayesian inference via geometric optics approximation},
    author={Zejun Sun, Guang-Hui Zheng},
    journal={arXiv preprint arXiv:2403.01655},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.01655},
    primaryClass={math.NA cs.NA math.ST stat.TH}
}