arXiv:2602.21426cs.LGstat.CO2026-02

用优化方法修正近似后验采样偏差,提升贝叶斯反问题采样效率。

Proximal-IMH: Proximal Posterior Proposals for Independent Metropolis-Hastings with Approximate Operators

  • 通过辅助优化问题对近似后验样本进行局部修正,消除偏差。
  • 在理想条件下显著提升接受率与混合速度,适用于线性与非线性模型。
  • 适合高成本精确采样的反问题,尤其适用于多峰和数据驱动先验场景。

我们研究科学、工程与成像中贝叶斯反问题的后验分布采样问题。所提方法属于独立Metropolis-Hastings(IMH)算法族,利用一个廉价但存在显著偏差的近似后验分布作为参考。Proximal-IMH通过引入辅助优化问题,对近似后验的样本进行校正,实现无偏化。该方法在近似参考点附近权衡精确模型拟合与稳定性。理论证明,在理想情形下,近似与精确后验的匹配度被加强,从而提升接受率与混合性能。该方法适用于线性与非线性输入-输出算子,特别适合精确后验采样成本过高的反问题。数值实验涵盖多峰分布与数据驱动先验的非线性算子场景,结果表明Proximal-IMH稳定优于现有IMH变体。

原文摘要 · Abstract (English)

We consider the problem of sampling from a posterior distribution arising in Bayesian inverse problems in science, engineering, and imaging. Our method belongs to the family of independence Metropolis-Hastings (IMH) sampling algorithms, which are common in Bayesian inference. Relying on the existence of an approximate posterior distribution that is cheaper to sample from but may have significant bias, we introduce Proximal-IMH, a scheme that removes this bias by correcting samples from the approximate posterior through an auxiliary optimization problem. This yields a local adjustment that trades off adherence to the exact model against stability around the approximate reference point. For idealized settings, we prove that the proximal correction tightens the match between approximate and exact posteriors, thereby improving acceptance rates and mixing. The method applies to both linear and nonlinear input-output operators and is particularly suitable for inverse problems where exact posterior sampling is too expensive. We present numerical experiments including multimodal and data-driven priors with nonlinear input-output operators. The results show that Proximal-IMH reliably outperforms existing IMH variants.

贝叶斯推断采样算法反问题优化校正

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