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

DOI10.1109/TSP.2014.2367457zbMATH Open1394.94822arXiv1409.0606MaRDI QIDQ4579656FDOQ4579656

J. Idier, Clément Gilavert, S. Moussaoui

Publication date: 22 August 2018

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

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.

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

Mathematics Subject Classification ID

Sampling theory in information and communication theory (94A20)

Cited In (14)

• Randomized approaches to accelerate MCMC algorithms for Bayesian inverse problems
• A new class of stochastic EM algorithms. Escaping local maxima and handling intractable sampling
• Sampled limited memory methods for massive linear 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
• An optimal Bayesian strategy for comparing Wiener-hunt deconvolution models in the absence of ground truth
• Cost free hyper-parameter selection/averaging for Bayesian inverse problems with vanilla and Rao-blackwellized SMC samplers
• High-Dimensional Gaussian Sampling: A Review and a Unifying Approach Based on a Stochastic Proximal Point Algorithm
• Binned Multilevel Monte Carlo for Bayesian Inverse Problems with Large Data
• The Split Gibbs Sampler Revisited: Improvements to Its Algorithmic Structure and Augmented Target Distribution
• Analysis of the Gibbs Sampler for Hierarchical Inverse Problems
• Ensemble sampler for infinite-dimensional inverse problems
• Efficient Marginalization-Based MCMC Methods for Hierarchical Bayesian Inverse Problems
• Sampling hyperparameters in hierarchical models: Improving on Gibbs for high-dimensional latent fields and large datasets

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