Efficient Bayesian multi-fidelity inverse analysis for expensive and non-differentiable physics-based simulations in high stochastic dimensions

High-dimensional Bayesian inverse analysis (dim≫100) is mostly unfeasible for computationally demanding, nonlinear physics-based high-fidelity (HF) models. Usually, the use of more efficient gradient-based inference schemes is impeded if the multi-physics models are provided by complex legacy codes. Adjoint-based derivatives are either exceedingly cumbersome to derive or nonexistent for practically relevant large-scale nonlinear and coupled multi-physics problems. Similarly, holistic automated differentiation w. r. t. primary variables of multi-physics codes is usually not yet an option and requires extensive code restructuring if not considered from the outset in the software design. This absence of differentiability further exacerbates the already present computational challenges. To overcome the existing limitations, we propose a novel inference approach called Bayesian multi-fidelity inverse analysis (BMFIA), which leverages simpler and computationally cheaper lower-fidelity (LF) models that are designed to provide model derivatives. BMFIA learns a simple, probabilistic dependence of the LF and HF models, which is then employed in an altered likelihood formulation to statistically correct the inaccurate LF response. From a Bayesian viewpoint, this dependence represents a multi-fidelity (MF) conditional density (discriminative model). We demonstrate how this MF conditional density can be learned robustly in the small data regime from only a few HF and LF simulations (50 to 300), which would not be sufficient for naive surrogate approaches. The formulation is fully differentiable and allows the flexible design of a wide range of LF models. We demonstrate that BMFIA solves Bayesian inverse problems for scenarios that used to be prohibitive, such as finely-resolved and hence high-dimensional spatial reconstruction problems in two-dimensional Euclidean domains with static posteriors, given nonlinear and transient coupled poro-elastic media physics. We show that the resulting static MF posteriors are in excellent agreement with the (usually inaccessible) HF posteriors or ground-truth data and note that extending the framework to arbitrary three-dimensional domains is a natural and important direction for future work.