VARIANCE-BASED SENSITIVITY OF BAYESIAN INVERSE PROBLEMS TO THE PRIOR DISTRIBUTION

The formulation of Bayesian inverse problems involves choosing prior distributions; choices that seem equally reasonable may lead to significantly different conclusions. We develop a computational approach to understand the impact of the hyperparameters defining the prior on the posterior statistics of the quantities of interest. Our approach relies on global sensitivity analysis (GSA) of Bayesian inverse problems with respect to the prior hyperparameters. This, however, is a challenging problem-a naive double loop sampling approach would require running a prohibitive number of Markov chain Monte Carlo (MCMC) sampling procedures. The present work takes a foundational step in making such a sensitivity analysis practical by combining efficient surrogate models and a tailored importance sampling approach. In particular, we can perform accurate GSA of posterior statistics of quantities of interest with respect to prior hyperparameters without the need to repeat MCMC runs. We demonstrate the effectiveness of the approach on a simple Bayesian linear inverse problem and a nonlinear inverse problem governed by an epidemiological model.