Efficient Gaussian Sampling for Solving Large-Scale Inverse Problems Using MCMC

DOI10.1109/TSP.2014.2367457MaRDI QIDQ4579656zbMATH OpenFDO

Authors Clément Gilavert, S. Moussaoui, J. Idier

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.0606

Mathematics Subject Classification ID

Sampling theory in information and communication theory (94A20)

Abstract: The resolution of many large-scale inverse problems using MCMC methods requires a step of drawing samples from a high dimensional Gaussian distribution. While direct Gaussian sampling techniques, such as those based on Cholesky factorization, induce an excessive numerical complexity and memory requirement, sequential coordinate sampling methods present a low rate of convergence. Based on the reversible jump Markov chain framework, this paper proposes an efficient Gaussian sampling algorithm having a reduced computation cost and memory usage. The main feature of the algorithm is to perform an approximate resolution of a linear system with a truncation level adjusted using a self-tuning adaptive scheme allowing to achieve the minimal computation cost. The connection between this algorithm and some existing strategies is discussed and its efficiency is illustrated on a linear inverse problem of image resolution enhancement.

Cited in

(15)

• Ensemble sampler for infinite-dimensional inverse problems
• Randomized approaches to accelerate MCMC algorithms for Bayesian inverse problems
• Binned Multilevel Monte Carlo for Bayesian Inverse Problems with Large Data
• Analysis of the Gibbs Sampler for Hierarchical Inverse Problems
• Polynomial Accelerated Solutions to a Large Gaussian Model for Imaging Biofilms: In Theory and Finite Precision
• Fast sampling in a linear-Gaussian inverse problem
• Sampled limited memory methods for massive linear inverse problems
• High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm
• Sampling hyperparameters in hierarchical models: Improving on Gibbs for high-dimensional latent fields and large datasets
• Efficient Marginalization-Based MCMC Methods for Hierarchical Bayesian Inverse Problems
• Cost free hyper-parameter selection/averaging for Bayesian inverse problems with vanilla and Rao-blackwellized SMC samplers
• The Split Gibbs Sampler Revisited: Improvements to Its Algorithmic Structure and Augmented Target Distribution
• An optimal Bayesian strategy for comparing Wiener-hunt deconvolution models in the absence of ground truth
• A continuous Gaussian mixture approach to sample multivariate Gaussians constrained by linear inequalities
• A new class of stochastic EM algorithms. Escaping local maxima and handling intractable sampling

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