Posterior consistency for Bayesian inverse problems through stability and regression results

DOI10.1088/0266-5611/29/12/125011zbMATH Open1284.35064arXiv1302.4101OpenAlexW2127339814MaRDI QIDQ5406771FDOQ5406771

Authors: Sebastian J. Vollmer 

Publication date: 2 April 2014

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

Abstract: In the Bayesian approach, the a priori knowledge about the input of a mathematical model is described via a probability measure. The joint distribution of the unknown input and the data is then conditioned, using Bayes' formula, giving rise to the posterior distribution on the unknown input. In this setting we prove posterior consistency for nonlinear inverse problems: a sequence of data is considered, with diminishing fluctuations around a single truth and it is then of interest to show that the resulting sequence of posterior measures arising from this sequence of data concentrates around the truth used to generate the data. Posterior consistency justifies the use of the Bayesian approach very much in the same way as error bounds and convergence results for regularisation techniques do. As a guiding example, we consider the inverse problem of reconstructing the diffusion coefficient from noisy observations of the solution to an elliptic PDE in divergence form. This problem is approached by splitting the forward operator into the underlying continuum model and a simpler observation operator based on the output of the model. In general, these splittings allow us to conclude posterior consistency provided a deterministic stability result for the underlying inverse problem and a posterior consistency result for the Bayesian regression problem with the push-forward prior. Moreover, we prove posterior consistency for the Bayesian regression problem based on the regularity, the tail behaviour and the small ball probabilities of the prior.

Full work available at URL: https://arxiv.org/abs/1302.4101

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian problems; characterization of Bayes procedures (62C10) Stability in context of PDEs (35B35) Nonlinear boundary value problems for linear elliptic equations (35J65) Inverse problems for PDEs (35R30)

Cited In (26)

• A posterior contraction for Bayesian inverse problems in Banach spaces
• Doob's consistency of a non-Bayesian updating process
• On Bayesian consistency for flows observed through a passive scalar
• A Bayesian approach for consistent reconstruction of inclusions
• Consistency of the posterior distribution in generalized linear inverse problems
• Importance sampling: intrinsic dimension and computational cost
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• Strong maximum a posteriori estimation in Banach spaces with Gaussian priors
• Continuum limits of posteriors in graph Bayesian inverse problems
• Posterior contraction in Bayesian inverse problems under Gaussian priors
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• Convergence Rates for Penalized Least Squares Estimators in PDE Constrained Regression Problems
• Consistency of Bayesian inference with Gaussian process priors for a parabolic inverse problem
• The Bayesian approach to inverse Robin problems
• Stabilities of shape identification inverse problems in a Bayesian framework
• Sequential Monte Carlo methods for Bayesian elliptic inverse problems
• Optimization based methods for partially observed chaotic systems
• Bernstein-von Mises theorems and uncertainty quantification for linear inverse problems
• On log-concave approximations of high-dimensional posterior measures and stability properties in non-linear inverse problems
• Consistency analysis of bilevel data-driven learning in inverse problems
• On the local Lipschitz stability of Bayesian inverse problems
• Gaussian approximations for probability measures on \(\mathbb R^d\)
• Bayesian inverse problems with unknown operators
• On empirical Bayes approach to inverse problems
• Consistency of the Bayes method for the inverse scattering problem
• Combining push-forward measures and Bayes' rule to construct consistent solutions to stochastic inverse problems

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