SAChES: Scalable Adaptive Chain-Ensemble Sampling.
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Sandia National Lab. (SNL-CA), Livermore, CA (United States)
- Pacific Northwest National Lab. (PNNL), Richland, WA (United States)
We present the development of a parallel Markov Chain Monte Carlo (MCMC) method called SAChES, Scalable Adaptive Chain-Ensemble Sampling. This capability is targed to Bayesian calibration of com- putationally expensive simulation models. SAChES involves a hybrid of two methods: Differential Evo- lution Monte Carlo followed by Adaptive Metropolis. Both methods involve parallel chains. Differential evolution allows one to explore high-dimensional parameter spaces using loosely coupled (i.e., largely asynchronous) chains. Loose coupling allows the use of large chain ensembles, with far more chains than the number of parameters to explore. This reduces per-chain sampling burden, enables high-dimensional inversions and the use of computationally expensive forward models. The large number of chains can also ameliorate the impact of silent-errors, which may affect only a few chains. The chain ensemble can also be sampled to provide an initial condition when an aberrant chain is re-spawned. Adaptive Metropolis takes the best points from the differential evolution and efficiently hones in on the poste- rior density. The multitude of chains in SAChES is leveraged to (1) enable efficient exploration of the parameter space; and (2) ensure robustness to silent errors which may be unavoidable in extreme-scale computational platforms of the future. This report outlines SAChES, describes four papers that are the result of the project, and discusses some additional results.
- Research Organization:
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Sponsoring Organization:
- USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR)
- DOE Contract Number:
- AC04-94AL85000
- OSTI ID:
- 1380101
- Report Number(s):
- SAND2017-9373; 656670
- Country of Publication:
- United States
- Language:
- English
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