Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case

Details Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case

2011-05-30

arxiv.org/abs/1105.5887v1

Statistics

Computation

Scientific paper

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.

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