Title: Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals,
Abstract: In this article we develop a new sequential Monte Carlo (SMC) method for
multilevel (ML) Monte Carlo estimation. In particular, the method can be used
to estimate expectations with respect to a target probability distribution over
an infinite-dimensional and non-compact space as given, for example, by a
Bayesian inverse problem with Gaussian random field prior. Under suitable
assumptions the MLSMC method has the optimal $O(\epsilon^{-2})$ bound on the
cost to obtain a mean-square error of $O(\epsilon^2)$. The algorithm is
accelerated by dimension-independent likelihood-informed (DILI) proposals
designed for Gaussian priors, leveraging a novel variation which uses empirical
sample covariance information in lieu of Hessian information, hence eliminating
the requirement for gradient evaluations. The efficiency of the algorithm is
illustrated on two examples: inversion of noisy pressure measurements in a PDE
model of Darcy flow to recover the posterior distribution of the permeability
field, and inversion of noisy measurements of the solution of an SDE to recover
the posterior path measure.