On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems
From MaRDI portal
Publication:2194045
DOI10.1007/S00211-020-01131-1zbMath1446.65098arXiv1901.03958OpenAlexW3043749415MaRDI QIDQ2194045
Philipp Wacker, Claudia Schillings, Björn Sprungk
Publication date: 25 August 2020
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.03958
Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Random measures (60G57) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Convergence of probability measures (60B10) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)
Related Items (25)
A Variational Inference Approach to Inverse Problems with Gamma Hyperpriors ⋮ On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo ⋮ Learning physics-based models from data: perspectives from inverse problems and model reduction ⋮ Low-rank tensor reconstruction of concentrated densities with application to Bayesian inversion ⋮ Multimodal information gain in Bayesian design of experiments ⋮ A Hybrid Gibbs Sampler for Edge-Preserving Tomographic Reconstruction with Uncertain View Angles ⋮ Shape reconstructions by using plasmon resonances ⋮ Certified dimension reduction in nonlinear Bayesian inverse problems ⋮ The computational asymptotics of Gaussian variational inference and the Laplace approximation ⋮ Sparse approximation of triangular transports. I: The finite-dimensional case ⋮ Small-noise approximation for Bayesian optimal experimental design with nuisance uncertainty ⋮ Bayesian neural network priors for edge-preserving inversion ⋮ Dimension Free Nonasymptotic Bounds on the Accuracy of High-Dimensional Laplace Approximation ⋮ Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems ⋮ Re-thinking high-dimensional mathematical statistics. Abstracts from the workshop held May 15--21, 2022 ⋮ Residual-based error correction for neural operator accelerated Infinite-dimensional Bayesian inverse problems ⋮ Horseshoe Priors for Edge-Preserving Linear Bayesian Inversion ⋮ Shape reconstructions by using plasmon resonances with enhanced sensitivity ⋮ Multilevel Monte Carlo Estimation of the Expected Value of Sample Information ⋮ Determination of the reaction coefficient in a time dependent nonlocal diffusion process ⋮ Stability of Gibbs Posteriors from the Wasserstein Loss for Bayesian Full Waveform Inversion ⋮ Isogeometric multilevel quadrature for forward and inverse random acoustic scattering ⋮ Variational inference for nonlinear inverse problems via neural net kernels: comparison to Bayesian neural networks, application to topology optimization ⋮ Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs ⋮ Non-asymptotic error estimates for the Laplace approximation in Bayesian inverse problems
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Nonparametric Bernstein-von Mises theorems in Gaussian white noise
- On the Bernstein-von Mises phenomenon for nonparametric Bayes procedures
- Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
- An analysis of Bayesian inference for nonparametric regression
- Bernstein-von Mises theorems for statistical inverse problems. I: Schrödinger equation
- On the consistency of Bayes estimates
- On the Bernstein-von Mises approximation of posterior distributions
- On the Bernstein-von Mises theorem with infinite-dimensional parameters
- On a generalization of the preconditioned Crank-Nicolson metropolis algorithm
- Statistical and computational inverse problems.
- Convergence rates of posterior distributions.
- The Bernstein-von Mises theorem under misspecification
- Hessian-based adaptive sparse quadrature for infinite-dimensional Bayesian inverse problems
- Fast Bayesian experimental design: Laplace-based importance sampling for the expected information gain
- Fast estimation of expected information gains for Bayesian experimental designs based on Laplace approximations
- Frequentist coverage of adaptive nonparametric Bayesian credible sets
- Combinatorics of partial derivatives
- Asymptotic Approximations of Integrals
- Sparse, adaptive Smolyak quadratures for Bayesian inverse problems
- Complexity analysis of accelerated MCMC methods for Bayesian inversion
- Inverse problems: A Bayesian perspective
- Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors
- Scaling limits in computational Bayesian inversion
- Multilevel higher-order quasi-Monte Carlo Bayesian estimation
- Kullback--Leibler Approximation for Probability Measures on Infinite Dimensional Spaces
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- A Fast and Scalable Method for A-Optimal Design of Experiments for Infinite-dimensional Bayesian Nonlinear Inverse Problems
- Asymptotic Statistics
- Gaussian Approximations for Probability Measures on $R^d$
- Higher Order Quasi--Monte Carlo Integration for Holomorphic, Parametric Operator Equations
- On Choosing and Bounding Probability Metrics
- Sparsity in Bayesian inversion of parametric operator equations
- Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
- High-dimensional integration: The quasi-Monte Carlo way
- A Review of Modern Computational Algorithms for Bayesian Optimal Design
This page was built for publication: On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems
