Computationally efficient sampling methods for sparsity promoting hierarchical Bayesian models

DOI10.1137/23M1564043arXiv2303.16988MaRDI QIDQ6431339FDOQ6431339

Authors: Daniela Calvetti, Erkki Somersalo 

Publication date: 29 March 2023

Abstract: Bayesian hierarchical models have been demonstrated to provide efficient algorithms for finding sparse solutions to ill-posed inverse problems. The models comprise typically a conditionally Gaussian prior model for the unknown, augmented by a hyperprior model for the variances. A widely used choice for the hyperprior is a member of the family of generalized gamma distributions. Most of the work in the literature has concentrated on numerical approximation of the maximum a posteriori (MAP) estimates, and less attention has been paid on sampling methods or other means for uncertainty quantification. Sampling from the hierarchical models is challenging mainly for two reasons: The hierarchical models are typically high-dimensional, thus suffering from the curse of dimensionality, and the strong correlation between the unknown of interest and its variance can make sampling rather inefficient. This work addresses mainly the first one of these obstacles. By using a novel reparametrization, it is shown how the posterior distribution can be transformed into one dominated by a Gaussian white noise, allowing sampling by using the preconditioned Crank-Nicholson (pCN) scheme that has been shown to be efficient for sampling from distributions dominated by a Gaussian component. Furthermore, a novel idea for speeding up the pCN in a special case is developed, and the question of how strongly the hierarchical models are concentrated on sparse solutions is addressed in light of a computed example.

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Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05)

Cited In (1)

• Leveraging joint sparsity in hierarchical Bayesian learning

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