We consider linear discrete ill-posed problems within the Bayesian framework, assuming a Gaussian additive noise model and a Gaussian prior whose covariance matrices may be known modulo multiplicative scaling factors. In that context, we propose a new pointwise estimator for the posterior density, the prior conditioned CGLS-based quasi-MAP (qMAP) as a computationally attractive approximation of the classical maximum a posteriori (MAP) estimate, in particular when the effective rank of the matrix A is much smaller than the dimension of the unknown. Exploiting the Bayesian paradigm and the connection between standard normal random variables and the χ2 distribution of their squared Euclidean norms, we propose a new stopping rule, the Maxχ2 rule, to terminate the CGLS iterations in the computation of the qMAP estimate. Moreover, we show that the proposed stopping rule can be used to estimate the possibly unknown scaling factor of the noise covariance, which is tantamount to estimating the noise level. It is shown that the Maxχ2 stopping rule and the proposed noise level estimation are affected by the correlation structure of priorconditioner, i.e., prior-related right preconditioner, but not by its scaling, which in the classical regularization framework would correspond to the Tikhonov regularization parameter. We will also show how the relation between priorconditioners and whitening transformations of the unknown can be used to rank different priorconditioners according to their agreement with the data.

Priorconditioned CGLS-Based Quasi-MAP Estimate, Statistical Stopping Rule, and Ranking of Priors / Calvetti, D.; Pitolli, F.; Prezioso, J.; Somersalo, E.; Vantaggi, B.. - In: SIAM JOURNAL ON SCIENTIFIC COMPUTING. - ISSN 1064-8275. - 39:5(2017), pp. S477-S500. [10.1137/16M108272X]

Priorconditioned CGLS-Based Quasi-MAP Estimate, Statistical Stopping Rule, and Ranking of Priors

Pitolli, F.;Vantaggi, B.
2017

Abstract

We consider linear discrete ill-posed problems within the Bayesian framework, assuming a Gaussian additive noise model and a Gaussian prior whose covariance matrices may be known modulo multiplicative scaling factors. In that context, we propose a new pointwise estimator for the posterior density, the prior conditioned CGLS-based quasi-MAP (qMAP) as a computationally attractive approximation of the classical maximum a posteriori (MAP) estimate, in particular when the effective rank of the matrix A is much smaller than the dimension of the unknown. Exploiting the Bayesian paradigm and the connection between standard normal random variables and the χ2 distribution of their squared Euclidean norms, we propose a new stopping rule, the Maxχ2 rule, to terminate the CGLS iterations in the computation of the qMAP estimate. Moreover, we show that the proposed stopping rule can be used to estimate the possibly unknown scaling factor of the noise covariance, which is tantamount to estimating the noise level. It is shown that the Maxχ2 stopping rule and the proposed noise level estimation are affected by the correlation structure of priorconditioner, i.e., prior-related right preconditioner, but not by its scaling, which in the classical regularization framework would correspond to the Tikhonov regularization parameter. We will also show how the relation between priorconditioners and whitening transformations of the unknown can be used to rank different priorconditioners according to their agreement with the data.
File allegati a questo prodotto
File Dimensione Formato  
SISC-CPPSV.pdf

solo gestori archivio

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 2.12 MB
Formato Adobe PDF
2.12 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1052050
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 4
social impact