Model Reduction via Principe Component Analysis and Markov Chain Monte Carlo (MCMC) Methods

Geophysical and hydrogeological inverse problems often include a large number of unknown parameters, ranging from hundreds to millions, depending on parameterization and problems undertaking. This makes inverse estimation and uncertainty quantification very challenging, especially for those problems in two- or three-dimensional spatial domains. Model reduction technique has the potential of mitigating the curse of dimensionality by reducing total numbers of unknowns while describing the complex subsurface systems adequately. In this study, we explore the use of principal component analysis (PCA) and Markov chain Monte Carlo (MCMC) sampling methods for model reduction through the use of synthetic datasets. We compare the performances of three different but closely related model reduction approaches: (1) PCA methods with geometric sampling (referred to as 'Method 1'), (2) PCA methods with MCMC sampling (referred to as 'Method 2'), and (3) PCA methods with MCMC sampling and inclusion of random effects (referred to as 'Method 3'). We consider a simple convolution model with five unknown parameters as our goal is to understand and visualize the advantages and disadvantages of each method by comparing their inversion results with the corresponding analytical solutions. We generated synthetic data with noise added and invert them under two different situations: (1) the noised data and the covariance matrix for PCA analysis are consistent (referred to as the unbiased case), and (2) the noise data and the covariance matrix are inconsistent (referred to as biased case). In the unbiased case, comparison between the analytical solutions and the inversion results show that all three methods provide good estimates of the true values and Method 1 is computationally more efficient. In terms of uncertainty quantification, Method 1 performs poorly because of relatively small number of samples obtained, Method 2 performs best, and Method 3 overestimates uncertainty due to inclusion of random effects. However, in the biased case, only Method 3 correctly estimates all the unknown parameters, and both Methods 1 and 2 provide wrong values for the biased parameters. The synthetic case study demonstrates that if the covariance matrix for PCA analysis is inconsistent with true models, the PCA methods with geometric or MCMC sampling will provide incorrect estimates.