Bayesian inference for inverse problems occurring in uncertainty analysis

The inverse problem considered here is to estimate the distribution of a non-observed random variable $X$ from some noisy observed data $Y$ linked to $X$ through a time-consuming physical model $H$. Bayesian inference is considered to take into account prior expert knowledge on $X$ in a small sample size setting. A Metropolis-Hastings within Gibbs algorithm is proposed to compute the posterior distribution of the parameters of $X$ through a data augmentation process. Since calls to $H$ are quite expensive, this inference is achieved by replacing $H$ with a kriging emulator interpolating $H$ from a numerical design of experiments. This approach involves several errors of different nature and, in this paper, we pay effort to measure and reduce the possible impact of those errors. In particular, we propose to use the so-called DAC criterion to assess in the same exercise the relevance of the numerical design and the prior distributions. After describing how computing this criterion for the emulator at hand, its behavior is illustrated on numerical experiments.

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Source https://inria.hal.science/hal-00708814
Author Fu, Shuai, Celeux, Gilles, Bousquet, Nicolas, Couplet, Mathieu
Maintainer CCSD
Last Updated May 15, 2026, 17:14 (UTC)
Created May 15, 2026, 17:14 (UTC)
Identifier Report N°: RR-7995
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Model selection in statistical learning (SELECT) ; Laboratoire de Mathématiques d'Orsay (LMO) ; Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Sud - Paris 11 (UP11)-Centre National de la Recherche Scientifique (CNRS)-Centre Inria de Saclay ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)
creator Fu, Shuai
date 2012-06-15T00:00:00
harvest_object_id 14a806c1-3912-469b-9aad-ebd6edcac233
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-12-18T00:00:00
set_spec type:REPORT