A stochastic quasi-Newton McMC method for uncertainty quantification of full-waveform inversion

TitleA stochastic quasi-Newton {McMC} method for uncertainty quantification of full-waveform inversion
Publication TypeTech Report
Year of Publication2014
AuthorsZhilong Fang, Felix J. Herrmann
NumberTR-EOAS-2014-6
PublisherUBC
KeywordsFWI, McMC, quasi-Newton, Uncertainty quantification
Abstract

In this work we propose a stochastic quasi-Newton Markov chain Monte Carlo (McMC) method to quantify the uncertainty of full-waveform inversion (FWI). We formulate the uncertainty quantification problem in the framework of the Bayesian inference, which formulates the posterior probability as the conditional probability of the model given the observed data. The Metropolis-Hasting algorithm is used to generate samples satisfying the posterior probability density function (pdf) to quantify the uncertainty. However it suffers from the challenge to construct a proposal distribution that simultaneously provides a good representation of the true posterior pdf and is easy to manipulate. To address this challenge, we propose a stochastic quasi-Newton McMC method, which relies on the fact that the Hessian of the deterministic problem is equivalent to the inverse of the covariance matrix of the posterior pdf. The l-BFGS (limited-memory Broyden–Fletcher–Goldfarb–Shanno) Hessian is used to approximate the inverse of the covariance matrix efficiently, and the randomized source sub-sampling strategy is used to reduce the computational cost of evaluating the posterior pdf and constructing the l-BFGS Hessian. Numerical experiments show the capability of this stochastic quasi-Newton McMC method to quantify the uncertainty of FWI with a considerable low cost.

URLhttps://www.slim.eos.ubc.ca/Publications/Public/TechReport/2014/zfang2014SEGsqn/zfang2014SEGsqn.html
Citation Keyzfang2014SEGsqn