Non-Gaussian statistical inverse problems. II: Posterior convergence for approximated unknowns

DOI10.3934/IPI.2012.6.267zbMATH Open1263.62042arXiv1112.0906OpenAlexW3098949320MaRDI QIDQ435840FDOQ435840

Authors: Sari Lasanen 

Publication date: 12 July 2012

Published in: Inverse Problems and Imaging (Search for Journal in Brave)

Abstract: The statistical inverse problem of estimating the probability distribution of an infinite-dimensional unknown given its noisy indirect observation is studied in the Bayesian framework. In practice, one often considers only finite-dimensional unknowns and investigates numerically their probabilities. As many unknowns are function-valued, it is of interest to know whether the estimated probabilities converge when the finite-dimensional approximations of the unknown are refined. In this work, the generalized Bayes formula is shown to be a powerful tool in the convergence studies. With the help of the generalized Bayes formula, the question of convergence of the posterior distributions is returned to the convergence of the finite-dimensional (or any other) approximations of the unknown. The approach allows many prior distributions while the restrictions are mainly for the noise model and the direct theory. Three modes of convergence of posterior distributions are considered -- weak convergence, setwise convergence and convergence in variation. The convergence of conditional mean estimates is studied. Several examples of applicable infinite-dimensional non-Gaussian noise models are provided, including a generalization of the Cameron-Martin formula for certain non-Gaussian measures. Also, the well-posedness of Bayesian statistical inverse problems is studied.

Full work available at URL: https://arxiv.org/abs/1112.0906

Recommendations

• Non-Gaussian statistical inverse problems. Part I: Posterior distributions
• Convergence rates of posterior distributions.
• Bayesian inverse problems with Gaussian priors
• Convergence analysis of surrogate-based methods for Bayesian inverse problems
• Posterior contraction rates for the Bayesian approach to linear ill-posed inverse problems

zbMATH Keywords

Bayesian methodsposterior distributionsnon-Gaussian noisemeasures on linear spaces

Mathematics Subject Classification ID

Bayesian inference (62F15) Probability theory on linear topological spaces (60B11) Central limit and other weak theorems (60F05) Bayesian problems; characterization of Bayes procedures (62C10) Numerical solution to inverse problems in abstract spaces (65J22)

Cited In (21)

• Oracle-type posterior contraction rates in Bayesian inverse problems
• Non-Gaussian statistical inverse problems. Part I: Posterior distributions
• Bayesian approach for inverse interior scattering problems with limited aperture
• Probabilistic regularization of Fredholm integral equations of the first kind
• Hyperparameter estimation in Bayesian MAP estimation: parameterizations and consistency
• Weak-norm posterior contraction rate of the 4DVAR method for linear severely ill-posed problems
• Importance sampling: intrinsic dimension and computational cost
• Diffusive Optical Tomography in the Bayesian Framework
• An efficient algorithm for a class of stochastic forward and inverse Maxwell models in \(\mathbb{R}^3\)
• Cauchy difference priors for edge-preserving Bayesian inversion
• A general approach to posterior contraction in nonparametric inverse problems
• Bayesian inference for age-structured population model of infectious disease with application to varicella in Poland
• On nonparametric maximum likelihood for a class of stochastic inverse problems
• The Bayesian formulation of EIT: analysis and algorithms
• Infinite-dimensional Bayesian approach for inverse scattering problems of a fractional Helmholtz equation
• A path-integral approach to Bayesian inference for inverse problems using the semiclassical approximation
• Determining white noise forcing from Eulerian observations in the Navier-Stokes equation
• Non-stationary multi-layered Gaussian priors for Bayesian inversion
• Γ -convergence of Onsager–Machlup functionals: I. With applications to maximum a posteriori estimation in Bayesian inverse problems
• Whittle-Matérn priors for Bayesian statistical inversion with applications in electrical impedance tomography
• The interior inverse scattering problem for a two-layered cavity using the Bayesian method

This page was built for publication: Non-Gaussian statistical inverse problems. II: Posterior convergence for approximated unknowns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q435840)