Fast computation of uncertainty quantification measures in the   geostatistical approach to solve inverse problems
  We consider the computational challenges associated with uncertainty quantification involved in parameter estimation such as seismic slowness and hydraulic transmissivity fields. The reconstruction of these parameters can be mathematically described as Inverse Problems which we tackle using the Geostatistical approach. The quantification of uncertainty in the Geostatistical approach involves computing the posterior covariance matrix which is prohibitively expensive to fully compute and store. We consider an efficient representation of the posterior covariance matrix at the maximum a posteriori (MAP) point as the sum of the prior covariance matrix and a low-rank update that contains information from the dominant generalized eigenmodes of the data misfit part of the Hessian and the inverse covariance matrix. The rank of the low-rank update is typically independent of the dimension of the unknown parameter. The cost of our method scales as $\bigO(m\log m)$ where $m $ dimension of unknown parameter vector space. Furthermore, we show how to efficiently compute measures of uncertainty that are based on scalar functions of the posterior covariance matrix. The performance of our algorithms is demonstrated by application to model problems in synthetic travel-time tomography and steady-state hydraulic tomography. We explore the accuracy of the posterior covariance on different experimental parameters and show that the cost of approximating the posterior covariance matrix depends on the problem size and is not sensitive to other experimental parameters. 
Arvind K. Saibaba and Peter K. Kitanidis
math.NA