Fast Gibbs sampling for high-dimensional Bayesian inversion. (7th October 2016)

• Record Type: Journal Article
• Authors: Lucka, Felix
• Is Part Of: Inverse problems. Volume 32:Number 11(2016:Nov.)
• Publication Date: 2016-10-07
• Subjects: Bayesian inversion -- MCMC -- Gibbs sampler -- slice sampling -- computed tomography -- total variation prior; 65J22 -- 62F15 -- 65C05 -- 65C60; Inverse problems (Differential equations) -- Periodicals; 515.357
• DOI: 10.1088/0266-5611/32/11/115019
• Languages: English
• ISSNs: 0266-5611

Abstract

Abstract: Solving ill-posed inverse problems by Bayesian inference has recently attracted considerable attention. Compared to deterministic approaches, the probabilistic representation of the solution by the posterior distribution can be exploited to explore and quantify its uncertainties. In applications where the inverse solution is subject to further analysis procedures can be a significant advantage. Alongside theoretical progress, various new computational techniques allow us to sample very high dimensional posterior distributions: in (Lucka 2012 Inverse Problems 28 125012 ), and a Markov chain Monte Carlo posterior sampler was developed for linear inverse problems with ℓ 1 -type priors. In this article, we extend this single component (SC) Gibbs-type sampler to a wide range of priors used in Bayesian inversion, such as general ℓ p q priors with additional hard constraints. In addition, a fast computation of the conditional, SC densities in an explicit, parameterized form, a fast, robust and exact sampling from these one-dimensional densities is key to obtain an efficient algorithm. We demonstrate that a generalization of slice sampling can utilize their specific structure for this task and illustrate the performance of the resulting slice-within-Gibbs samplers by different computed examples. These new samplers allow us to perform sample-based Bayesian inference in high-dimensional scenarios with certain priors for the first time, including the inversion of computed tomography data with the popular isotropic total variation prior.