Certified coordinate selection for high-dimensional Bayesian inversion with Laplace prior

Abstract

AbstractWe consider high-dimensional Bayesian inverse problems with arbitrary likelihood and product-form Laplace prior for which we provide a certified approximation of the posterior in the Hellinger distance. The approximate posterior differs from the prior only in a small number of relevant coordinates that contribute the most to the update from the prior to the posterior. We propose and analyze a gradient-based diagnostic to identify these relevant coordinates. Although this diagnostic requires computing an expectation with respect to the posterior, we propose tractable methods for the classical case of a linear forward model with Gaussian likelihood. Our methods can be employed to estimate the diagnostic before solving the Bayesian inverse problem via, e.g., Markov chain Monte Carlo (MCMC) methods. After selecting the coordinates, the approximate posterior can be efficiently inferred since most of its coordinates are only informed by the prior. Moreover, specialized MCMC methods, such as the pseudo-marginal MCMC algorithm, can be used to obtain less correlated samples when sampling the exact posterior. We show the applicability of our method using a 1D signal deblurring problem and a high-dimensional 2D super-resolution problem.