Maximum-a-posteriori estimation with Bayesian confidence regions

TL;DR

This paper introduces an efficient method to approximate Bayesian credibility regions in high-dimensional inverse problems, enabling uncertainty quantification alongside point estimates like MAP, with theoretical guarantees and practical applications in imaging.

Contribution

The paper proposes a novel, computationally efficient approach to approximate Bayesian credible regions in high-dimensional convex inverse problems, leveraging concentration of measure results.

Findings

Approximations outer-bound true credibility regions.

Method is stable with respect to model dimension.

Applications demonstrated in tomographic reconstruction and sparse deconvolution.

Abstract

Solutions to inverse problems that are ill-conditioned or ill-posed may have significant intrinsic uncertainty. Unfortunately, analysing and quantifying this uncertainty is very challenging, particularly in high-dimensional problems. As a result, while most modern mathematical imaging methods produce impressive point estimation results, they are generally unable to quantify the uncertainty in the solutions delivered. This paper presents a new general methodology for approximating Bayesian high-posterior-density credibility regions in inverse problems that are convex and potentially very high-dimensional. The approximations are derived by using recent concentration of measure results related to information theory for log-concave random vectors. A remarkable property of the approximations is that they can be computed very efficiently, even in large-scale problems, by using standard convex optimisation techniques. In particular, they are available as a by-product in problems solved by maximum-a-posteriori estimation. The approximations also have favourable theoretical properties, namely they outer-bound the true high-posterior-density credibility regions, and they are stable with respect to model dimension. The proposed methodology is illustrated on two high-dimensional imaging inverse problems related to tomographic reconstruction and sparse deconvolution, where the approximations are used to perform Bayesian hypothesis tests and explore the uncertainty about the solutions, and where proximal Markov chain Monte Carlo algorithms are used as benchmark to compute exact credible regions and measure the approximation error.