Non-Gaussian parameter inference for hydrogeological models using Stein
Variational Gradient Descent
Abstract
The sustainable management of groundwater demands a faithful
characterization of the subsurface. This, in turn, requires information
which is generally not readily available. To bridge the gap between data
need and availability, numerical models are often used to synthesize
plausible scenarios not only from direct information but also
additional, indirect data. Unfortunately, the resulting system
characterizations will rarely be unique. This poses a challenge for
practical parameter inference: Computational limitations often force
modelers to resort to methods based on questionable assumptions of
Gaussianity, which do not reproduce important facets of ambiguity such
as Pareto fronts or multi-modality. In search of a remedy, an
alternative could be found in Stein Variational Gradient Descent, a
recent development in the field of statistics. This ensemble-based
method iteratively transforms a set of arbitrary particles into samples
of a potentially non-Gaussian posterior, provided the latter is
sufficiently smooth. A prerequisite for this method is knowledge of the
Jacobian, which is usually exceptionally expensive to evaluate. To
address this issue, we propose an ensemble-based, localized
approximation of the Jacobian. We demonstrate the performance of the
resulting algorithm in two cases: a simple, bimodal synthetic scenario,
and a complex numerical model based on a real-world, pre-alpine
catchment. Promising results in both cases - even when the ensemble size
is smaller than the number of parameters - suggest that Stein
Variational Gradient Descent can be a valuable addition to
hydrogeological parameter inference.