Preconditioned training of normalizing flows for variational inference in inverse problems

Ali Siahkoohi, Gabrio Rizzuti, Mathias Louboutin, Philipp Witte, Felix Herrmann

Keywords: Inverse problems, Normalizing flows, Uncertainty quantification

TL;DR: A preconditioning scheme for training normalizing flows in the context of variational inference in inverse problems

Abstract: Obtaining samples from the posterior distribution of inverse problems with expensive forward operators is challenging especially when the unknowns involve the strongly heterogeneous Earth. To meet these challenges, we propose a preconditioning scheme involving a conditional normalizing flow (NF) capable of sampling from a low-fidelity posterior distribution directly. This conditional NF is used to speed up the training of the high-fidelity objective involving minimization of the Kullback-Leibler divergence between the predicted and the desired high-fidelity posterior density for indirect measurements at hand. To minimize costs associated with the forward operator, we initialize the high-fidelity NF with the weights of the pretrained low-fidelity NF, which is trained beforehand on available model and data pairs. Our numerical experiments, including a 2D toy and a seismic compressed sensing example, demonstrate that thanks to the preconditioning considerable speed-ups are achievable compared to training NFs from scratch.