Well-Posed Bayesian Inverse Problems: Priors with Exponential Tails

DOI10.1137/16M1076824zbMATH Open1371.35349arXiv1604.02575WikidataQ115525637 ScholiaQ115525637MaRDI QIDQ5269871FDOQ5269871

Nilima Nigam, Bamdad Hosseini

Publication date: 28 June 2017

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: We consider the well-posedness of Bayesian inverse problems when the prior measure has exponential tails. In particular, we consider the class of convex (log-concave) probability measures which include the Gaussian and Besov measures as well as certain classes of hierarchical priors. We identify appropriate conditions on the likelihood distribution and the prior measure which guarantee existence, uniqueness and stability of the posterior measure with respect to perturbations of the data. We also consider consistent approximations of the posterior such as discretization by projection. Finally, we present a general recipe for construction of convex priors on Banach spaces which will be of interest in practical applications where one often works with spaces such as $L^2$ or the continuous functions.

Full work available at URL: https://arxiv.org/abs/1604.02575

zbMATH Keywords

Bayesiannon-Gaussianinverse problemsconvex measure, log-concave distribution

Mathematics Subject Classification ID

Parametric inference (62F99) Probability theory on linear topological spaces (60B11) Inverse problems for PDEs (35R30) Theoretical approximation in context of PDEs (35A35)

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Cited In (22)

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