Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case
Abstract
This paper is devoted to the problem of sampling Gaussian fields in high dimension. Solutions exist for two specific structures of inverse covariance : sparse and circulant. The proposed approach is valid in a more general case and especially as it emerges in inverse problems. It relies on a perturbation-optimization principle: adequate stochastic perturbation of a criterion and optimization of the perturbed criterion. It is shown that the criterion minimizer is a sample of the target density. The motivation in inverse problems is related to general (non-convolutive) linear observation models and their resolution in a Bayesian framework implemented through sampling algorithms when existing samplers are not feasible. It finds a direct application in myopic and/or unsupervised inversion as well as in some non-Gaussian inversion. An illustration focused on hyperparameter estimation for super-resolution problems assesses the effectiveness of the proposed approach.
Cite
@article{arxiv.1105.5887,
title = {Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case},
author = {F. Orieux and O. Féron and J. -F. Giovannelli},
journal= {arXiv preprint arXiv:1105.5887},
year = {2011}
}