Posterior consistency for Gaussian process approximations of Bayesian posterior distributions

Stuart, Andrew; Teckentrup, Aretha

doi:10.1090/mcom/3244

Posterior consistency for Gaussian process approximations of Bayesian posterior distributions
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by Andrew M. Stuart and Aretha L. Teckentrup;

Math. Comp. 87 (2018), 721-753

DOI: https://doi.org/10.1090/mcom/3244

Published electronically: August 3, 2017

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Abstract:

We study the use of Gaussian process emulators to approximate the parameter-to-observation map or the negative log-likelihood in Bayesian inverse problems. We prove error bounds on the Hellinger distance between the true posterior distribution and various approximations based on the Gaussian process emulator. Our analysis includes approximations based on the mean of the predictive process, as well as approximations based on the full Gaussian process emulator. Our results show that the Hellinger distance between the true posterior and its approximations can be bounded by moments of the error in the emulator. Numerical results confirm our theoretical findings.

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