MAP estimators and their consistency in Bayesian nonparametric inverse problems

Dashti, M, Law, K J H, Stuart, A M and Voss, J (2013) MAP estimators and their consistency in Bayesian nonparametric inverse problems. Inverse Problems, 29 (9). 095017. ISSN 0266-5611

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We consider the inverse problem of estimating an unknown function u from noisy measurements y of a known, possibly nonlinear, map $\mathcal {G}$ applied to u. We adopt a Bayesian approach to the problem and work in a setting where the prior measure is specified as a Gaussian random field μ0. We work under a natural set of conditions on the likelihood which implies the existence of a well-posed posterior measure, μy. Under these conditions, we show that the maximum a posteriori (MAP) estimator is well defined as the minimizer of an Onsager–Machlup functional defined on the Cameron–Martin space of the prior; thus, we link a problem in probability with a problem in the calculus of variations. We then consider the case where the observational noise vanishes and establish a form of Bayesian posterior consistency for the MAP estimator. We also prove a similar result for the case where the observation of $\mathcal {G}(u)$ can be repeated as many times as desired with independent identically distributed noise. The theory is illustrated with examples from an inverse problem for the Navier–Stokes equation, motivated by problems arising in weather forecasting, and from the theory of conditioned diffusions, motivated by problems arising in molecular dynamics.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Q Science > QA Mathematics > QA0299 Analysis. Including analytical methods connected with physical problems
Depositing User: Masoumeh Dashti
Date Deposited: 19 Sep 2013 10:38
Last Modified: 02 Jul 2019 21:06

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