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Efficient Sampling of Non Log-Concave Posterior Distributions With Mixture of Noises

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  • معلومة اضافية
    • Contributors:
      Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 (CRIStAL); Centrale Lille-Université de Lille-Centre National de la Recherche Scientifique (CNRS); Laboratoire d'Etude du Rayonnement et de la Matière en Astrophysique et Atmosphères = Laboratory for Studies of Radiation and Matter in Astrophysics and Atmospheres (LERMA); École normale supérieure - Paris (ENS-PSL); Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Institut national des sciences de l'Univers (INSU - CNRS)-Observatoire de Paris; Centre National de la Recherche Scientifique (CNRS)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-CY Cergy Paris Université (CY); Programme National “Physique et Chimie du Milieu Interstellaire” (PCMI) of CNRS/INSU with INC/INP co-funded by CEA and CNES; Programme d’investissements d’avenir ANR-16-IDEX-0004 ULNE; Région Hauts de France (HDF); OrionStat (80Prime project of the CNRS); ANR-20-CHIA-0031,SHERLOCK,Inférence rapide et contrôle de l'incertitude: applications aux observations astrophysiques.(2020); ANR-21-CE31-0010,DAOISM,Analyse Détaillée du Milieu Inter-Stellaire(2021); ANR-16-IDEX-0004,ULNE,ULNE(2016)
    • بيانات النشر:
      CCSD
      Institute of Electrical and Electronics Engineers
    • الموضوع:
      2023
    • Collection:
      Archive de l'Observatoire de Paris (HAL)
    • نبذة مختصرة :
      International audience ; This article focuses on a challenging class of inverse problems that is often encountered in applications. The forward model is a complex non-linear black-box, potentially non-injective, whose outputs cover multiple decades in amplitude. Observations are supposed to be simultaneously damaged by additive and multiplicative noises and censorship. As needed in many applications, the aim of this work is to provide uncertainty quantification on top of parameter estimates. The resulting log-likelihood is intractable and potentially non-log-concave. An adapted Bayesian approach is proposed to provide credibility intervals along with point estimates. An MCMC algorithm is proposed to deal with the multimodal posterior distribution, even in a situation where there is no global Lipschitz constant (or it is very large). It combines two kernels, namely an improved version of PMALA (Li, 2016) and a Multiple Try Metropolis (MTM) kernel (Liu et al., 2021). This sampler addresses all the challenges induced by the complex form of the likelihood. The proposed method is illustrated on classical test multimodal distributions as well as on a challenging and realistic inverse problem in astronomy.
    • Relation:
      info:eu-repo/semantics/altIdentifier/arxiv/2211.12915; ARXIV: 2211.12915
    • الرقم المعرف:
      10.1109/TSP.2023.3289728
    • الدخول الالكتروني :
      https://hal.science/hal-04264362
      https://hal.science/hal-04264362v1/document
      https://hal.science/hal-04264362v1/file/HAL_version.pdf
      https://doi.org/10.1109/TSP.2023.3289728
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.9BE04236