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Fast optimize-and-sample method for differentiable Galerkin approximations of multi-layered Gaussian process priors
KFUPM, Control & Instrumentat Engn Dept, Dhahran, Saudi Arabia..
NVIDIA, Helsinki, Finland..
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Systems and Control.
Aalto Univ, Dept Elect Engn & Automat, Espoo, Finland..
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2022 (English)In: 2022 25TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION 2022), IEEE, 2022Conference paper, Published paper (Refereed)
Abstract [en]

Multi-layered Gaussian process (field) priors are non-Gaussian priors, which offer a capability to handle Bayesian inference on both smooth and discontinuous functions. Previously, performing Bayesian inference using these priors required the construction of a Markov chain Monte Carlo sampler. To converge to the stationary distribution, this sampling technique is computationally inefficient and hence the utility of the approach has only been demonstrated for small canonical test problems. Furthermore, in numerous Bayesian inference applications, such as Bayesian inverse problems, the uncertainty quantification of the hyper-prior layers is of less interest, since the main concern is to quantify the randomness of the process/field of interest. In this article, we propose an alternative approach, where we optimize the hyper-prior layers, while inference is performed only for the lowest layer. Specifically, we use the Galerkin approximation with automatic differentiation to accelerate optimization. We validate the proposed approach against several existing non-stationary Gaussian process methods and demonstrate that it can significantly decrease the execution time while maintaining comparable accuracy. We also apply the method to an X-ray tomography inverse problem. Due to its improved performance and robustness, this new approach opens up the possibility for applying the multi-layer Gaussian field priors to more complex problems.

Place, publisher, year, edition, pages
IEEE, 2022.
Keywords [en]
Bayesian learning, Gaussian Processes, Markov chain Monte Carlo, inverse problems, Galerkin approximations
National Category
Probability Theory and Statistics Computational Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-486357DOI: 10.23919/FUSION49751.2022.9841362ISI: 000855689000134ISBN: 978-1-7377497-2-1 (electronic)OAI: oai:DiVA.org:uu-486357DiVA, id: diva2:1702294
Conference
25th International Conference of Information Fusion (FUSION), JUL 04-07, 2022, Linkoping, SWEDEN
Available from: 2022-10-10 Created: 2022-10-10 Last updated: 2022-10-11Bibliographically approved

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Zhao, Zheng

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  • apa
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