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Posterior contraction for empirical bayesian approach to inverse problems under non-diagonal assumption
1. | School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an, 710049, China |
2. | School of Mathematics and Information Science, Guangzhou University, Guangzhou, 510006, China |
3. | School of Electronic and Information Engineering, Xi'an Jiaotong University, Xi'an, 710049, China |
We investigate an empirical Bayesian nonparametric approach to a family of linear inverse problems with Gaussian prior and Gaussian noise. We consider a class of Gaussian prior probability measures with covariance operator indexed by a hyperparameter that quantifies regularity. By introducing two auxiliary problems, we construct an empirical Bayes method and prove that this method can automatically select the hyperparameter. In addition, we show that this adaptive Bayes procedure provides optimal contraction rates up to a slowly varying term and an arbitrarily small constant, without knowledge about the regularity index. Our method needs not the prior covariance, noise covariance and forward operator have a common basis in their singular value decomposition, enlarging the application range compared with the existing results. A simple simulation example is given that illustrates the effectiveness of the proposed method.
References:
[1] |
S. Agapiou, S. Larsson and A. W. Stuart,
Posterior contraction rates for the Bayesian approach to linear ill-posed inverse problems, Stoch. Proc. Appl., 123 (2013), 3828-3860.
doi: 10.1016/j.spa.2013.05.001. |
[2] |
S. Agapiou and P. Mathé, Posterior contraction in bayesian inverse problems under gaussian priors, in New Trends in Parameter Identification for Mathematical Models (eds. B. Hofmann, A. Leit$\tilde{o}$ and J. P. Zubelli), 2018, 1–29.
doi: 10.1007/978-3-319-70824-9_1. |
[3] |
E. Belitser and S. Ghosal,
Adaptive Bayesian inference on the mean of an infinite-dimensional normal distribution, Ann. Statist., 31 (2003), 536-559.
doi: 10.1214/aos/1051027880. |
[4] |
T. Bui-Thanh and Q. P. Nguyen,
FEM-based discretization-invariant MCMC methods for PDE-constrained Bayesian inverse problems, Inverse Probl. Imag., 10 (2016), 943-975.
doi: 10.3934/ipi.2016028. |
[5] |
A. D. Bull,
Honest adaptive confidence bands and self-similar functions, Electron. J. Stat., 6 (2012), 1490-1516.
doi: 10.1214/12-EJS720. |
[6] |
M. Burger and F. Lucka, Maximum a posteriori estimates in linear inverse problems with log-concave priors are proper Bayes estimators, Inverse Probl., 30 (2014), 114004, 21pp.
doi: 10.1088/0266-5611/30/11/114004. |
[7] |
S. L. Cotter, M. Dashti and J. C. Robinson and A. M. Stuart, Bayesian inverse problems for functions and applications to fluid mechanics, Inverse Probl., 25 (2009), 115008, 43pp.
doi: 10.1088/0266-5611/25/11/115008. |
[8] |
S. L. Cotter, G. O. Roberts, A. M. Stuart and D. White,
MCMC methods for functions: Modifying old algorithms to make them faster, Stat. Sci., 28 (2013), 424-446.
doi: 10.1214/13-STS421. |
[9] |
M. Dashti, K. J. H. Law and A. M. Stuart and J. Voss, MAP estimators and their consistency in Bayesian nonparametric inverse problems, Inverse Probl., 29 (2013), 095017, 27pp.
doi: 10.1088/0266-5611/29/9/095017. |
[10] |
M. Dashti and A. W. Stuart, The Bayesian Approach to Inverse Problems, in Handbook of Uncertainty Quantification (eds. R. Ghanem, D. Higdon and H. Owhadi), Springer, Cham, 2017. |
[11] |
M. M. Dunlop and A. M. Stuart, MAP estimators for piecewise continuous inversion, Inverse Probl., 32 (2016), 105003, 50pp.
doi: 10.1088/0266-5611/32/10/105003. |
[12] |
H. W. Engl, M. Hanke and A. Neubauer, Regularization of Inverse Problems, Springer, Netherlands, 1996. |
[13] |
L. C. Evans, Partial Differential Equations, 2$^nd$ edition, American Mathematical Society, United States, 2010.
doi: 10.1090/gsm/019. |
[14] |
S. Ghosal and A. Van Der Vaart,
Convergence rates of posterior distributions for noniid observations, Ann. Statist., 35 (2007), 192-223.
doi: 10.1214/009053606000001172. |
[15] |
E. Giné and R. Nickl,
Confidence bands in density estimation, Ann. Statist., 38 (2010), 1122-1170.
doi: 10.1214/09-AOS738. |
[16] |
T. Hsing and R. Eubank, Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators, John Wiley & Sons, Ltd., Chichester, 2015.
doi: 10.1002/9781118762547. |
[17] |
M. Ilić, F. Liu, I. Turner and V. Anh,
Numerical approximation of a fractional-in-space diffusion equation, Frac. Calc. App. Anal., 8 (2005), 323-341.
|
[18] |
J. Jia, J. Peng and J. Gao, Bayesian approach to inverse problems for functions with a variable-index Besov prior, Inverse Probl., 32 (2016), 085006, 32pp.
doi: 10.1088/0266-5611/32/8/085006. |
[19] |
J. Jia, S. Yue, J. Peng and J. Gao,
Infinite-dimensional Bayesian approach for inverse scattering problems of a fractional Helmholtz equation, J. Funct. Anal., 275 (2016), 2299-2332.
doi: 10.1016/j.jfa.2018.08.002. |
[20] |
H. Kekkonen, M. Lassas and S. Siltanen, Posterior consistency and convergence rates for Bayesian inversion with hypoelliptic operators, Inverse Probl., 32 (2016), 085005, 31pp.
doi: 10.1088/0266-5611/32/8/085005. |
[21] |
B. T. Knapik, A. van Der Vaart and J. H. van Zanten,
Bayesian inverse problems with Gaussian priors, Ann. Statist., 39 (2011), 2626-2657.
doi: 10.1214/11-AOS920. |
[22] |
B. T. Knapik and J. B. Salomond,
A general approach to posterior contraction in nonparametric inverse problems, Bernoulli, 24 (2018), 2091-2121.
doi: 10.3150/16-BEJ921. |
[23] |
B. T. Knapik, B. T. Szabó, A. W. van der Vaart and J. H. van Zanten,
Bayes procedures for adaptive inference in inverse problems for the white noise model, Probab. Theory Rel., 164 (2016), 771-813.
doi: 10.1007/s00440-015-0619-7. |
[24] |
J. Koponen, T. Huttunen, T. Tarvainen and J. P. Kaipio,
Bayesian approximation error approach in full-wave ultrasound tomography, IEEE T. Ultrason. Ferr., 61 (2014), 1627-1637.
doi: 10.1109/TUFFC.2014.006319. |
[25] |
P. Mathé,
Bayesian inverse problems with non-commuting operators, Math. Comput., 88 (2019), 2897-2912.
doi: 10.1090/mcom/3439. |
[26] |
G. D. Prato, An Introduction to Infinite-Dimensional Analysis, Scuola Normale Superiore, Pisa, 2001.
doi: 10.1007/3-540-29021-4. |
[27] |
M. A. Shubin and S. I. Andersson, Pseudodifferential Operators and Spectral Theory, Springer, Berlin, 2001. |
[28] |
A. W. Stuart,
Inverse problems: A Bayesian perspective, Acta Numer., 19 (2010), 451-559.
doi: 10.1017/S0962492910000061. |
[29] |
B. Szabó, A. W. van der Vaart and J. H. van Zanten,
Frequentist coverage of adaptive nonparametric Bayesian credible sets, Ann. Statist., 43 (2015), 1391-1428.
doi: 10.1214/14-AOS1270. |
[30] |
M. Trabs, Bayesian inverse problems with unknown operators, Inverse Probl., 34 (2018), 085001, 27pp.
doi: 10.1088/1361-6420/aac3aa. |
[31] |
S. J. Vollmer, Posterior consistency for Bayesian inverse problems through stability and regression results, Inverse Probl., 29 (2013), 125011, 32pp.
doi: 10.1088/0266-5611/29/12/125011. |
show all references
References:
[1] |
S. Agapiou, S. Larsson and A. W. Stuart,
Posterior contraction rates for the Bayesian approach to linear ill-posed inverse problems, Stoch. Proc. Appl., 123 (2013), 3828-3860.
doi: 10.1016/j.spa.2013.05.001. |
[2] |
S. Agapiou and P. Mathé, Posterior contraction in bayesian inverse problems under gaussian priors, in New Trends in Parameter Identification for Mathematical Models (eds. B. Hofmann, A. Leit$\tilde{o}$ and J. P. Zubelli), 2018, 1–29.
doi: 10.1007/978-3-319-70824-9_1. |
[3] |
E. Belitser and S. Ghosal,
Adaptive Bayesian inference on the mean of an infinite-dimensional normal distribution, Ann. Statist., 31 (2003), 536-559.
doi: 10.1214/aos/1051027880. |
[4] |
T. Bui-Thanh and Q. P. Nguyen,
FEM-based discretization-invariant MCMC methods for PDE-constrained Bayesian inverse problems, Inverse Probl. Imag., 10 (2016), 943-975.
doi: 10.3934/ipi.2016028. |
[5] |
A. D. Bull,
Honest adaptive confidence bands and self-similar functions, Electron. J. Stat., 6 (2012), 1490-1516.
doi: 10.1214/12-EJS720. |
[6] |
M. Burger and F. Lucka, Maximum a posteriori estimates in linear inverse problems with log-concave priors are proper Bayes estimators, Inverse Probl., 30 (2014), 114004, 21pp.
doi: 10.1088/0266-5611/30/11/114004. |
[7] |
S. L. Cotter, M. Dashti and J. C. Robinson and A. M. Stuart, Bayesian inverse problems for functions and applications to fluid mechanics, Inverse Probl., 25 (2009), 115008, 43pp.
doi: 10.1088/0266-5611/25/11/115008. |
[8] |
S. L. Cotter, G. O. Roberts, A. M. Stuart and D. White,
MCMC methods for functions: Modifying old algorithms to make them faster, Stat. Sci., 28 (2013), 424-446.
doi: 10.1214/13-STS421. |
[9] |
M. Dashti, K. J. H. Law and A. M. Stuart and J. Voss, MAP estimators and their consistency in Bayesian nonparametric inverse problems, Inverse Probl., 29 (2013), 095017, 27pp.
doi: 10.1088/0266-5611/29/9/095017. |
[10] |
M. Dashti and A. W. Stuart, The Bayesian Approach to Inverse Problems, in Handbook of Uncertainty Quantification (eds. R. Ghanem, D. Higdon and H. Owhadi), Springer, Cham, 2017. |
[11] |
M. M. Dunlop and A. M. Stuart, MAP estimators for piecewise continuous inversion, Inverse Probl., 32 (2016), 105003, 50pp.
doi: 10.1088/0266-5611/32/10/105003. |
[12] |
H. W. Engl, M. Hanke and A. Neubauer, Regularization of Inverse Problems, Springer, Netherlands, 1996. |
[13] |
L. C. Evans, Partial Differential Equations, 2$^nd$ edition, American Mathematical Society, United States, 2010.
doi: 10.1090/gsm/019. |
[14] |
S. Ghosal and A. Van Der Vaart,
Convergence rates of posterior distributions for noniid observations, Ann. Statist., 35 (2007), 192-223.
doi: 10.1214/009053606000001172. |
[15] |
E. Giné and R. Nickl,
Confidence bands in density estimation, Ann. Statist., 38 (2010), 1122-1170.
doi: 10.1214/09-AOS738. |
[16] |
T. Hsing and R. Eubank, Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators, John Wiley & Sons, Ltd., Chichester, 2015.
doi: 10.1002/9781118762547. |
[17] |
M. Ilić, F. Liu, I. Turner and V. Anh,
Numerical approximation of a fractional-in-space diffusion equation, Frac. Calc. App. Anal., 8 (2005), 323-341.
|
[18] |
J. Jia, J. Peng and J. Gao, Bayesian approach to inverse problems for functions with a variable-index Besov prior, Inverse Probl., 32 (2016), 085006, 32pp.
doi: 10.1088/0266-5611/32/8/085006. |
[19] |
J. Jia, S. Yue, J. Peng and J. Gao,
Infinite-dimensional Bayesian approach for inverse scattering problems of a fractional Helmholtz equation, J. Funct. Anal., 275 (2016), 2299-2332.
doi: 10.1016/j.jfa.2018.08.002. |
[20] |
H. Kekkonen, M. Lassas and S. Siltanen, Posterior consistency and convergence rates for Bayesian inversion with hypoelliptic operators, Inverse Probl., 32 (2016), 085005, 31pp.
doi: 10.1088/0266-5611/32/8/085005. |
[21] |
B. T. Knapik, A. van Der Vaart and J. H. van Zanten,
Bayesian inverse problems with Gaussian priors, Ann. Statist., 39 (2011), 2626-2657.
doi: 10.1214/11-AOS920. |
[22] |
B. T. Knapik and J. B. Salomond,
A general approach to posterior contraction in nonparametric inverse problems, Bernoulli, 24 (2018), 2091-2121.
doi: 10.3150/16-BEJ921. |
[23] |
B. T. Knapik, B. T. Szabó, A. W. van der Vaart and J. H. van Zanten,
Bayes procedures for adaptive inference in inverse problems for the white noise model, Probab. Theory Rel., 164 (2016), 771-813.
doi: 10.1007/s00440-015-0619-7. |
[24] |
J. Koponen, T. Huttunen, T. Tarvainen and J. P. Kaipio,
Bayesian approximation error approach in full-wave ultrasound tomography, IEEE T. Ultrason. Ferr., 61 (2014), 1627-1637.
doi: 10.1109/TUFFC.2014.006319. |
[25] |
P. Mathé,
Bayesian inverse problems with non-commuting operators, Math. Comput., 88 (2019), 2897-2912.
doi: 10.1090/mcom/3439. |
[26] |
G. D. Prato, An Introduction to Infinite-Dimensional Analysis, Scuola Normale Superiore, Pisa, 2001.
doi: 10.1007/3-540-29021-4. |
[27] |
M. A. Shubin and S. I. Andersson, Pseudodifferential Operators and Spectral Theory, Springer, Berlin, 2001. |
[28] |
A. W. Stuart,
Inverse problems: A Bayesian perspective, Acta Numer., 19 (2010), 451-559.
doi: 10.1017/S0962492910000061. |
[29] |
B. Szabó, A. W. van der Vaart and J. H. van Zanten,
Frequentist coverage of adaptive nonparametric Bayesian credible sets, Ann. Statist., 43 (2015), 1391-1428.
doi: 10.1214/14-AOS1270. |
[30] |
M. Trabs, Bayesian inverse problems with unknown operators, Inverse Probl., 34 (2018), 085001, 27pp.
doi: 10.1088/1361-6420/aac3aa. |
[31] |
S. J. Vollmer, Posterior consistency for Bayesian inverse problems through stability and regression results, Inverse Probl., 29 (2013), 125011, 32pp.
doi: 10.1088/0266-5611/29/12/125011. |

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