Chilled Sampling for Uncertainty Quantification: A Motivation From A Meteorological Inverse Problem

• URL: http://arxiv.org/abs/2207.03182v3
• Date: Wed, 25 Oct 2023 08:05:48 GMT
• Title: Chilled Sampling for Uncertainty Quantification: A Motivation From A Meteorological Inverse Problem
• Authors: Patrick H\'eas and Fr\'ed\'eric C\'erou and Mathias Rousset
• Abstract summary: We study the evaluation of the (expected) estimation errors using gradient-based Markov Chain Monte Carlo algorithms. The main contribution is to propose a general strategy, called here chilling, which amounts to sampling a local approximation of the posterior distribution in the neighborhood of a point estimate.
• Score: 1.688134675717698
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Atmospheric motion vectors (AMVs) extracted from satellite imagery are the only wind observations with good global coverage. They are important features for feeding numerical weather prediction (NWP) models. Several Bayesian models have been proposed to estimate AMVs. Although critical for correct assimilation into NWP models, very few methods provide a thorough characterization of the estimation errors. The difficulty of estimating errors stems from the specificity of the posterior distribution, which is both very high dimensional, and highly ill-conditioned due to a singular likelihood. Motivated by this difficult inverse problem, this work studies the evaluation of the (expected) estimation errors using gradient-based Markov Chain Monte Carlo (MCMC) algorithms. The main contribution is to propose a general strategy, called here chilling, which amounts to sampling a local approximation of the posterior distribution in the neighborhood of a point estimate. From a theoretical point of view, we show that under regularity assumptions, the family of chilled posterior distributions converges in distribution as temperature decreases to an optimal Gaussian approximation at a point estimate given by the Maximum A Posteriori, also known as the Laplace approximation. Chilled sampling therefore provides access to this approximation generally out of reach in such high-dimensional nonlinear contexts. From an empirical perspective, we evaluate the proposed approach based on some quantitative Bayesian criteria. Our numerical simulations are performed on synthetic and real meteorological data. They reveal that not only the proposed chilling exhibits a significant gain in terms of accuracy of the point estimates and of their associated expected errors, but also a substantial acceleration in the convergence speed of the MCMC algorithms.

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