# Faster Uncertainty Quantification for Inverse Problems with Conditional Normalizing Flows

Title | Faster Uncertainty Quantification for Inverse Problems with Conditional Normalizing Flows |

Publication Type | Report |

Year of Publication | 2020 |

Authors | Ali Siahkoohi, Gabrio Rizzuti, Philipp A. Witte, Felix J. Herrmann |

Document Number | TR-CSE-2020-2 |

Month | 07 |

Institution | Georgia Institute of Technology |

Keywords | deep learning, invertible networks, Uncertainty quantification |

Abstract | In inverse problems, we often have access to data consisting of paired samples $(x,y)\sim p_X,Y(x,y)$ where $y$ are partial observations of a physical system, and $x$ represents the unknowns of the problem. Under these circumstances, we can employ supervised training to learn a solution $x$ and its uncertainty from the observations $y$. We refer to this problem as the "supervised" case. However, the data $y\sim p_Y(y)$ collected at one point could be distributed differently than observations $y'\sim p_Y'(y')$, relevant for a current set of problems. In the context of Bayesian inference, we propose a two-step scheme, which makes use of normalizing flows and joint data to train a conditional generator $q_θ(x|y)$ to approximate the target posterior density $p_X|Y(x|y)$. Additionally, this preliminary phase provides a density function $q_θ(x|y)$, which can be recast as a prior for the "unsupervised" problem, e.g. when only the observations $y'\sim p_Y'(y')$, a likelihood model $y'|x$, and a prior on $x'$ are known. We then train another invertible generator with output density $q'_φ(x|y')$ specifically for $y'$, allowing us to sample from the posterior $p_X|Y'(x|y')$. We present some synthetic results that demonstrate considerable training speedup when reusing the pretrained network $q_θ(x|y')$ as a warm start or preconditioning for approximating $p_X|Y'(x|y')$, instead of learning from scratch. This training modality can be interpreted as an instance of transfer learning. This result is particularly relevant for large-scale inverse problems that employ expensive numerical simulations. |

URL | https://slim.gatech.edu/Publications/Public/TechReport/2020/siahkoohi2020TRfuqf/siahkoohi2020TRfuqf.html |

Citation Key | siahkoohi2020TRfuqf |