One of the major challenges in the Bayesian solution of inverse problems
governed by partial differential equations (PDEs) is the computational cost of
repeatedly evaluating numerical PDE models, as required by Markov chain Monte
Carlo (MCMC) methods for posterior sampling. This paper proposes a data-driven
projection-based model reduction technique to reduce this computational cost.
The proposed technique has two distinctive features. First, the model reduction
strategy is tailored to inverse problems: the snapshots used to construct the
reduced-order model are computed adaptively from the posterior distribution.
Posterior exploration and model reduction are thus pursued simultaneously.
Second, to avoid repeated evaluations of the full-scale numerical model as in a
standard MCMC method, we couple the full-scale model and the reduced-order
model together in the MCMC algorithm. This maintains accurate inference while
reducing its overall computational cost. In numerical experiments considering
steady-state flow in a porous medium, the data-driven reduced-order model
achieves better accuracy than a reduced-order model constructed using the
classical approach. It also improves posterior sampling efficiency by several
orders of magnitude compared to a standard MCMC method.