Cross-fade sampling: extremely efficient Bayesian inversion for a variety of geophysical problems

SUMMARY This paper introduces cross-fade sampling, a computationally efficient Markov Chain Monte Carlo simulation method that uses a semi-analytical approach to quickly solve Bayesian inverse problems that do not themselves have an analytical solution. Cross-fading is efficient in two ways. First, it requires fewer samples to obtain the same quality simulation of the target probability density function (PDF). Secondly, it is much faster to evaluate the posterior probability of each sample than conventional sampling methods for simulating Bayesian posterior PDFs. Conventional methods require evaluating the prior probability (which describes your a priori constraints) and data likelihood (which describes the fit between the observations and the predictions of the model) for each sample model. However, cross-fading does not require evaluating the data likelihood, meaning that ‘big data’ can be fit with zero additional computational cost. Further, the cross-fading approach can be used to calculate the marginal likelihood associated with a model design, facilitating model comparison and Bayesian model averaging. Topics covered in this paper include derivation of the cross-fade approach and how it can be used to simulate Bayesian posterior PDFs and compute the marginal likelihood, discussion of the class of problems to which cross-fading can be applied (with examples from earthquake statistics, earthquake ground motion modelling, volcanic eruption forecasting, and finite fault slip modelling), demonstration of efficiency relative to existing sampling methods and discussion of how cross-fading can be used to account for prediction errors (i.e. epistemic errors) as part of the geophysical inverse problem.