Asymptotic theory for Bayesian nonparametric inference in statistical models arising from partial differential equations

Abstract

Partial differential equations (PDEs) are primary mathematical tools to model the behaviour of complex real-world systems. PDEs generally include a collection of parameters in their formulation, which are often unknown in applications and need to be estimated from the data. In the present thesis, we investigate the theoretical performance of nonparametric Bayesian procedures in such parameter identification problems in PDEs. In particular, inverse regression models for elliptic equations and stochastic diffusion models are considered.

In Chapter 2, we study the statistical inverse problem of recovering an unknown function from a linear indirect measurement corrupted by additive Gaussian white noise. We employ a nonparametric Bayesian approach with standard Gaussian priors, for which the posterior-based reconstruction corresponds to a Tikhonov regulariser with a reproducing kernel Hilbert space norm penalty. We prove a semiparametric Bernstein–von Mises theorem for a large collection of linear functionals of the unknown, implying that semiparametric posterior estimation and uncertainty quantification are valid and optimal from a frequentist point of view. The general result is applied to three concrete examples that cover both the mildly and severely ill-posed cases: specifically, elliptic inverse problems, an elliptic boundary value problem, and the recovery of the initial condition of the heat equation. For the elliptic boundary value problem, we also obtain a nonparametric version of the theorem that entails the convergence of the posterior distribution to a prior-independent infinite-dimensional Gaussian probability measure with minimal covariance. As a consequence, it follows that the Tikhonov regulariser is an efficient estimator, and we derive frequentist guarantees for certain credible balls centred around it.

Chapter 3 is concerned with statistical nonlinear inverse problems. We focus on the prototypical example of recovering the unknown conductivity function in an elliptic PDE in divergence form from discrete noisy point evaluations of the PDE solution. We study the statistical performance of Bayesian nonparametric procedures based on a flexible class of Gaussian (or hierarchical Gaussian) process priors, whose implementation is feasible by MCMC methods. We show that, as the number of measurements increases, the resulting posterior distributions concentrate around the true parameter generating the data, and derive a convergence rate, algebraic in inverse sample size, for the estimation error of the associated posterior means.

Finally, in Chapter 4 we extend the posterior consistency analysis to dynamical models based on stochastic differential equations. We study nonparametric Bayesian models for reversible multi-dimensional diffusions with periodic drift. For continuous observation paths, reversibility is exploited to prove a general posterior contraction rate theorem for the drift gradient vector field under approximation-theoretic conditions on the induced prior for the invariant measure. The general theorem is applied to Gaussian priors and p-exponential priors, which are shown to converge to the truth at the minimax optimal rate over Sobolev smoothness classes in any dimension.

Chapter 1 is dedicated to introducing the statistical models considered in Chapters 2 - 4, and to providing an overview of the theoretical results derived therein. The main theorems of Chapter 2 and Chapter 3 are illustrated via the results of simulations, and detailed comments are provided on the implementation.