Regularized sparse‐grid geometric sampling for uncertainty analysis in non‐linear inverse problems

This paper introduces an efficiency improvement to the sparse‐grid geometric sampling methodology for assessing uncertainty in non‐linear geophysical inverse problems. Traditional sparse‐grid geometric sampling works by sampling in a reduced‐dimension parameter space bounded by a feasible polytope, e.g., a generalization of a polygon to dimension above two. The feasible polytope is approximated by a hypercube. When the polytope is very irregular, the hypercube can be a poor approximation leading to computational inefficiency in sampling. We show how the polytope can be regularized using a rotation and scaling based on principal component analysis. This simple regularization helps to increase the efficiency of the sampling and by extension the computational complexity of the uncertainty solution. We demonstrate this on two synthetic 1D examples related to controlled‐source electromagnetic and amplitude versus offset inversion. The results show an improvement of about 50% in the performance of the proposed methodology when compared with the traditional one. However, as the amplitude versus offset example shows, the differences in the efficiency of the proposed methodology are very likely to be dependent on the shape and complexity of the original polytope. However, it is necessary to pursue further investigations on the regularization of the original polytope in order to fully understand when a simple regularization step based on rotation and scaling is enough.