Fast Markov chain Monte Carlo sampling for sparse Bayesian inference in high-dimensional inverse problems using L1-type priors
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Publication:4920045
DOI10.1088/0266-5611/28/12/125012zbMATH Open1266.65013arXiv1206.0262OpenAlexW1990075812MaRDI QIDQ4920045FDOQ4920045
Authors: Felix Lucka 
Publication date: 16 May 2013
Published in: Inverse Problems (Search for Journal in Brave)
Abstract: Sparsity has become a key concept for solving of high-dimensional inverse problems using variational regularization techniques. Recently, using similar sparsity-constraints in the Bayesian framework for inverse problems by encoding them in the prior distribution has attracted attention. Important questions about the relation between regularization theory and Bayesian inference still need to be addressed when using sparsity promoting inversion. A practical obstacle for these examinations is the lack of fast posterior sampling algorithms for sparse, high-dimensional Bayesian inversion: Accessing the full range of Bayesian inference methods requires being able to draw samples from the posterior probability distribution in a fast and efficient way. This is usually done using Markov chain Monte Carlo (MCMC) sampling algorithms. In this article, we develop and examine a new implementation of a single component Gibbs MCMC sampler for sparse priors relying on L1-norms. We demonstrate that the efficiency of our Gibbs sampler increases when the level of sparsity or the dimension of the unknowns is increased. This property is contrary to the properties of the most commonly applied Metropolis-Hastings (MH) sampling schemes: We demonstrate that the efficiency of MH schemes for L1-type priors dramatically decreases when the level of sparsity or the dimension of the unknowns is increased. Practically, Bayesian inversion for L1-type priors using MH samplers is not feasible at all. As this is commonly believed to be an intrinsic feature of MCMC sampling, the performance of our Gibbs sampler also challenges common beliefs about the applicability of sample based Bayesian inference.
Full work available at URL: https://arxiv.org/abs/1206.0262
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Bayesian inferenceGibbs samplernumerical examplesinverse problemsBayesian inversionvariational regularizationMarkov chain Monte Carlo sampling algorithmsMetropolis-Hastings sampling schemes
Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05)
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- Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems
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