Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A case study for the Navier-Stokes equations

We consider the inverse problem of estimating the initial condition of a partial differential equation, which is only observed through noisy measurements at discrete time intervals. In particular, we focus on the case where Eulerian measurements are obtained from the time and space evolving vector field, whose evolution obeys the two-dimensional Navier-Stokes equations defined on a torus. This context is particularly relevant to the area of numerical weather forecasting and data assimilation. We will adopt a Bayesian formulation resulting from a particular regularization that ensures the problem is well posed. In the context of Monte Carlo based inference, it is a challenging task to obtain samples from the resulting high dimensional posterior on the initial condition. In real data assimilation applications it is common for computational methods to invoke the use of heuristics and Gaussian approximations. As a result, the resulting inferences are biased and not well-justified in the presence of non-linear dynamics and observations. On the other hand, Monte Carlo methods can be used to assimilate data in a principled manner, but are often perceived as inefficient in this context due to the high-dimensionality of the problem. In this work we will propose a generic Sequential Monte Carlo (SMC) sampling approach for high dimensional inverse problems that overcomes these difficulties. The method builds upon “state of the art” Markov chain Monte Carlo (MCMC) techniques, which are currently considered as benchmarks for evaluating data assimilation algorithms used in practice. SMC samplers can improve in terms of efficiency as they possess greater flexibility and one can include steps like sequential tempering, adaptation and parallelization with relatively low amount of extra computations. We will illustrate this using numerical examples, where our proposed SMC approach can achieve the same accuracy as MCMC but in a much more efficient manner.