Maximum a posteriori estimators in ℓp are well-defined for diagonal Gaussian priors

DOI10.1088/1361-6420/ACCE60zbMATH Open1517.65044arXiv2207.00640OpenAlexW4366448018MaRDI QIDQ6101037FDOQ6101037

Authors: Ilja Klebanov, Philipp Wacker 

Publication date: 31 May 2023

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

Abstract: We prove that maximum a posteriori estimators are well-defined for diagonal Gaussian priors $mu$ on $el{l}^p$ under common assumptions on the potential $Phi$. Further, we show connections to the Onsager--Machlup functional and provide a corrected and strongly simplified proof in the Hilbert space case $p=2$, previously established by Dashti et al (2013) and Kretschmann (2019). These corrections do not generalize to the setting $1leqp<infty$, which requires a novel convexification result for the difference between the Cameron--Martin norm and the $p$-norm.

Full work available at URL: https://arxiv.org/abs/2207.00640

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zbMATH Keywords

inverse problemsGaussian measuressequence spacessmall ball probabilitiesOnsager-Machlup functionalmaximum \textit{a posteriori} estimator

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical solution to inverse problems in abstract spaces (65J22)

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Cited In (4)

• Strong maximum a posteriori estimation in Banach spaces with Gaussian priors
• Are Minimizers of the Onsager–Machlup Functional Strong Posterior Modes?
• An Order-Theoretic Perspective on Modes and Maximum A Posteriori Estimation in Bayesian Inverse Problems
• Analysis of a Computational Framework for Bayesian Inverse Problems: Ensemble Kalman Updates and MAP Estimators under Mesh Refinement

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