UC Irvine

Bayesian analysis is widely used in science and engineering for real-time forecasting, decision making, and to help unravel the processes that explain the observed data. These data are some deterministic and/or stochastic transformations of the underlying parameters. A key task is then to summarize the posterior distribution of these parameters. When models become too difficult to analyze analytically, Monte Carlo methods can be used to approximate the target distribution. Of these, Markov chain Monte Carlo (MCMC) methods are particularly powerful. Such methods generate a random walk through the parameter space and, under strict conditions of reversibility and ergodicity, will successively visit solutions with frequency proportional to the underlying target density. This requires a proposal distribution that generates candidate solutions starting from an arbitrary initial state. The speed of the sampled chains converging to the target distribution deteriorates rapidly, however, with increasing parameter dimensionality. In this paper, we introduce a new proposal distribution that enhances significantly the efficiency of MCMC simulation for highly parameterized models. This proposal distribution exploits the cross covariance of model parameters, measurements, and model outputs and generates candidate states much alike the analysis step in the Kalman filter. We embed the Kalman-inspired proposal distribution in the DiffeRential Evolution Adaptive Metropolis algorithm during burn-in and present several numerical experiments with complex, high-dimensional, or multimodal target distributions. Results demonstrate that this new proposal distribution can greatly improve simulation efficiency of MCMC. Specifically, we observe a speedup on the order of 10–30 times for groundwater models with more than 100 parameters.