Multiresolution Approximation of a Bayesian Inverse Problem using Second-Generation Wavelets

Bayesian approaches are one of the primary methodologies to tackle an inverse problem in high dimensions. Such an inverse problem arises in hydrology to infer the permeability field given flow data in a porous media. It is common practice to decompose the unknown field into some basis and infer the decomposition parameters instead of directly inferring the unknown. Given the multiscale nature of permeability fields, wavelets are a natural choice for parameterizing them. This study uses a Bayesian approach to incorporate the statistical sparsity that characterizes discrete wavelet coefficients. First, we impose a prior distribution incorporating the hierarchical structure of the wavelet coefficient and smoothness of reconstruction via scale-dependent hyperparameters. Then, Sequential Monte Carlo (SMC) method adaptively explores the posterior density on different scales, followed by model selection based on Bayes Factors. Finally, the permeability field is reconstructed from the coefficients using a multiresolution approach based on second-generation wavelets. Here, observations from the pressure sensor grid network are computed via Multilevel Adaptive Wavelet Collocation Method (AWCM). Results highlight the importance of prior modeling on parameter estimation in the inverse problem.