@conference {fang2016SEGuqw,
	title = {Uncertainty quantification for Wavefield Reconstruction Inversion using a PDE free semidefinite Hessian and randomize-then-optimize method},
	booktitle = {SEG Technical Program Expanded Abstracts},
	year = {2016},
	note = {(SEG, Dallas)},
	month = {10},
	pages = {1390-1394},
	abstract = {The data of full-waveform inversion often contains noise, which induces uncertainties in the inversion results. Ideally, one would like to run a number of independent inversions with different realizations of the noise and assess model-side uncertainties from the resulting models, however this is not feasible because we collect the data only once. To circumvent this restriction, various sampling schemes have been devised to generate an ensemble of models that fit the data to within the noise level. Such sampling schemes typically involve running multiple inversions or evaluating the Hessian of the cost function, both of which are computationally expensive. In this work, we propose a new method to quantify uncertainties based on a novel formulation of the full-waveform inversion problem {\textendash} wavefield reconstruction inversion. Based on this formulation, we formulate a semidefinite approximation of the corresponding Hessian matrix. By precomputing certain quantities, we are able to apply this Hessian to given input vectors without additional solutions of the underlying partial differential equations. To generate a sample, we solve an auxiliary stochastic optimization problem involving this Hessian. The result is a computationally feasible method that, with little overhead, can generate as many samples as required at small additional cost. We test our method on the synthetic BG Compass model and compare the results to a direct-sampling approach. The results show the feasibility of applying our method to computing statistical quantities such as the mean and standard deviation in the context of wavefield reconstruction inversion.},
	keywords = {SEG, Uncertainty quantification, WRI},
	doi = {10.1190/segam2016-13879108.1},
	url = {https://slim.gatech.edu/Publications/Public/Conferences/SEG/2016/fang2016SEGuqw/fang2016SEGuqw.html},
	presentation = {https://slim.gatech.edu/Publications/Public/Conferences/SEG/2016/fang2016SEGuqw/fang2016SEGuqw_pres.pdf},
	author = {Zhilong Fang and Chia Ying Lee and Curt Da Silva and Tristan van Leeuwen and Felix J. Herrmann}
}
@conference {fang2014EAGEfuq,
	title = {Fast uncertainty quantification for 2D full-waveform inversion with randomized source subsampling},
	booktitle = {EAGE Annual Conference Proceedings},
	year = {2014},
	month = {06},
	abstract = {Uncertainties arise in every area of seismic exploration, especially in full-waveform inversion, which is highly non-linear. In the framework of Bayesian inference, uncertainties can be analyzed by sampling the posterior probability density distribution with a Markov chain Monte-Carlo (McMC) method. We reduce the cost of computing the posterior distribution by working with randomized subsets of sources. These approximations, together with the Gaussian assumption and approximation of the Hessian, leads to a computational tractable uncertainty quantification. Application of this approach to a synthetic leads to standard deviations and confidence intervals that are qualitatively consistent with our expectations.},
	keywords = {EAGE, FWI, Markov chain Monte Carlo, randomized sources subsampling, Uncertainty quantification},
	doi = {10.3997/2214-4609.20140715},
	url = {https://slim.gatech.edu/Publications/Public/Conferences/EAGE/2014/fang2014EAGEfuq/fang2014EAGEfuq.pdf},
	presentation = {https://slim.gatech.edu/Publications/Public/Conferences/EAGE/2014/fang2014EAGEfuq/fang2014EAGEfuq_pres.pdf},
	author = {Zhilong Fang and Curt Da Silva and Felix J. Herrmann}
}
@techreport {zfang2014SEGsqn,
	title = {A stochastic quasi-Newton McMC method for uncertainty quantification of full-waveform inversion},
	number = {TR-EOAS-2014-6},
	year = {2014},
	month = {04},
	institution = {UBC},
	abstract = {In this work we propose a stochastic quasi-Newton Markov chain Monte Carlo (McMC) method to quantify the uncertainty of full-waveform inversion (FWI). We formulate the uncertainty quantification problem in the framework of the Bayesian inference, which formulates the posterior probability as the conditional probability of the model given the observed data. The Metropolis-Hasting algorithm is used to generate samples satisfying the posterior probability density function (pdf) to quantify the uncertainty. However it suffers from the challenge to construct a proposal distribution that simultaneously provides a good representation of the true posterior pdf and is easy to manipulate. To address this challenge, we propose a stochastic quasi-Newton McMC method, which relies on the fact that the Hessian of the deterministic problem is equivalent to the inverse of the covariance matrix of the posterior pdf. The l-BFGS (limited-memory Broyden{\textendash}Fletcher{\textendash}Goldfarb{\textendash}Shanno) Hessian is used to approximate the inverse of the covariance matrix efficiently, and the randomized source sub-sampling strategy is used to reduce the computational cost of evaluating the posterior pdf and constructing the l-BFGS Hessian. Numerical experiments show the capability of this stochastic quasi-Newton McMC method to quantify the uncertainty of FWI with a considerable low cost.},
	keywords = {FWI, McMC, quasi-Newton, Uncertainty quantification},
	url = {https://slim.gatech.edu/Publications/Public/TechReport/2014/zfang2014SEGsqn/zfang2014SEGsqn.html},
	author = {Zhilong Fang and Felix J. Herrmann}
}
