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arXiv 1602.08595math.NAcs.NAmath.PRmath.STstat.TH
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高维贝叶斯反演中的快速吉布斯采样

Fast Gibbs sampling for high-dimensional Bayesian inversion

Centre for Medical Image Computing, University College London(医学图像计算中心,伦敦大学学院)

Felix Lucka

AI总结:

本文提出了一种改进的吉布斯采样方法,用于高维贝叶斯反演问题,支持多种先验分布,如一般ℓ_𝑝^𝑞先验和硬约束,并通过计算实例展示了其在CT数据反演中的应用效果。

摘要:

通过贝叶斯推理解决病态反问题近年来引起了广泛关注。与确定性方法相比,后验分布对解的表示可以用于探索和量化其不确定性。在应用中,反解需进一步分析时,这种方法具有显著优势。除了理论进展,各种新计算技术允许对高维后验分布进行采样:在[Lucka2012]中,为线性反问题开发了马尔可夫链蒙特卡罗(MCMC)后验采样器,使用ℓ_1型先验。本文将这种单组件吉布斯型采样器扩展到更广泛的先验分布,如一般的ℓ_𝑝^𝑞先验和附加的硬约束。除了单组件密度的显式参数化形式的快速计算,从这些一维密度中快速、稳健和精确地采样是获得高效算法的关键。我们证明了一种切片采样的推广可以利用其特定结构完成此任务,并通过不同的计算示例展示了所得到的切片-吉布斯采样器的性能。这些新采样器使我们能够首次在具有某些先验的高维场景中进行基于样本的贝叶斯推断,包括使用流行各向同性总变分(TV)先验的CT数据反演。

英文摘要:

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, this can be a significant advantage. Alongside theoretical progress, various new computational techniques allow to sample very high dimensional posterior distributions: In [Lucka2012], a Markov chain Monte Carlo (MCMC) posterior sampler was developed for linear inverse problems with $\ell_1$-type priors. In this article, we extend this single component Gibbs-type sampler to a wide range of priors used in Bayesian inversion, such as general $\ell_p^q$ priors with additional hard constraints. Besides a fast computation of the conditional, single component 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 (CT) data with the popular isotropic total variation (TV) prior.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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