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Convergence rate for the Bayesian approach to linear inverse problems

Andreas Hofinger and Hanna K Pikkarainen

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Recently, the metrics of Ky Fan and Prokhorov were introduced as a tool for studying convergence of regularization methods for stochastic ill-posed problems. In this work, we show that the Bayesian approach to linear inverse problems can be examined in the new framework as well. We consider the finite-dimensional case where the measurements are disturbed by an additive normal noise, and the prior distribution is normal. Convergence and convergence rate results for the posterior distribution are obtained when the covariance matrices are proportional to the identity matrix.


PACS

05.40.Ca Noise

02.50.Cw Probability theory

02.50.Ng Distribution theory and Monte Carlo studies

02.30.Zz Inverse problems

02.60.-x Numerical approximation and analysis

02.50.Ey Stochastic processes

MSC

65F22 Ill-posedness, regularization

60H25 Random operators and equations (See also 47B80)

15A29 Inverse problems

65F18 Inverse eigenvalue problems

60H40 White noise theory

62F15 Bayesian inference

Subjects

Mathematical physics

Computational physics

Statistical physics and nonlinear systems

Dates

Issue 6 (December 2007)

Received 14 November 2006, in final form 10 September 2007

Published 19 October 2007



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