Semivariogram methods for modeling Whittle-Matérn priors in Bayesian inverse problems

DOI10.1088/1361-6420/AB762EzbMATH Open1475.62120arXiv1811.09446OpenAlexW3102747650MaRDI QIDQ5000601FDOQ5000601

Richard Brown, Johnathan M. Bardsley, Tiangang Cui

Publication date: 14 July 2021

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

Abstract: We present a new technique, based on semivariogram methodology, for obtaining point estimates for use in prior modeling for solving Bayesian inverse problems. This method requires a connection between Gaussian processes with covariance operators defined by the Mat'ern covariance function and Gaussian processes with precision (inverse-covariance) operators defined by the Green's functions of a class of elliptic stochastic partial differential equations (SPDEs). We present a detailed mathematical description of this connection. We will show that there is an equivalence between these two Gaussian processes when the domain is infinite -- for us, $mathbb{R}^2$ -- which breaks down when the domain is finite due to the effect of boundary conditions on Green's functions of PDEs. We show how this connection can be re-established using extended domains. We then introduce the semivariogram method for estimating the Mat'ern covariance parameters, which specify the Gaussian prior needed for stabilizing the inverse problem. Results are extended from the isotropic case to the anisotropic case where the correlation length in one direction is larger than another. Finally, we consider the situation where the correlation length is spatially dependent rather than constant. We implement each method in two-dimensional image inpainting test cases to show that it works on practical examples.

Full work available at URL: https://arxiv.org/abs/1811.09446

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zbMATH Keywords

stochastic partial differential equationsBayesian methodsinverse problemsvariogramboundary conditionsGaussian fieldWhittle-Matérn

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Image analysis in multivariate analysis (62H35) Ill-posedness and regularization problems in numerical linear algebra (65F22)

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Cited In (5)

• The Matérn model: a journey through statistics, numerical analysis and machine learning
• Hybrid projection methods for large-scale inverse problems with mixed Gaussian priors
• Efficient iterative methods for hyperparameter estimation in large-scale linear inverse problems
• Optimization-Based Markov Chain Monte Carlo Methods for Nonlinear Hierarchical Statistical Inverse Problems
• Whittle-Matérn priors for Bayesian statistical inversion with applications in electrical impedance tomography

Uses Software

• UTV
• GMRFLib

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