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

DOI10.1088/1361-6420/ACCE60MaRDI QIDQ6101037zbMATH OpenOpenAlexFDO

Authors Ilja Klebanov, Philipp Wacker

Publication date 31 May 2023

Published in Inverse Problems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(5)

• Analysis of a Computational Framework for Bayesian Inverse Problems: Ensemble Kalman Updates and MAP Estimators under Mesh Refinement
• Maximum a posteriori estimators as a limit of Bayes estimators
• 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

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