The split Gibbs sampler revisited: improvements to its algorithmic structure and augmented target distribution

• URL: http://arxiv.org/abs/2206.13894v3
• Date: Wed, 3 May 2023 10:58:21 GMT
• Title: The split Gibbs sampler revisited: improvements to its algorithmic structure and augmented target distribution
• Authors: Marcelo Pereyra, Luis A. Vargas-Mieles, Konstantinos C. Zygalakis
• Abstract summary: Current state-of-the-art methods often address these difficulties by replacing the posterior density with a smooth approximation. An alternative approach is based on data augmentation and relaxation, where auxiliary variables are introduced in order to construct an approximate augmented posterior distribution. This paper proposes a new accelerated proximal MCMC method called latent space SK-ROCK, which tightly combines the benefits of the two strategies.
• Score: 1.1279808969568252
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Developing efficient Bayesian computation algorithms for imaging inverse problems is challenging due to the dimensionality involved and because Bayesian imaging models are often not smooth. Current state-of-the-art methods often address these difficulties by replacing the posterior density with a smooth approximation that is amenable to efficient exploration by using Langevin Markov chain Monte Carlo (MCMC) methods. An alternative approach is based on data augmentation and relaxation, where auxiliary variables are introduced in order to construct an approximate augmented posterior distribution that is amenable to efficient exploration by Gibbs sampling. This paper proposes a new accelerated proximal MCMC method called latent space SK-ROCK (ls SK-ROCK), which tightly combines the benefits of the two aforementioned strategies. Additionally, instead of viewing the augmented posterior distribution as an approximation of the original model, we propose to consider it as a generalisation of this model. Following on from this, we empirically show that there is a range of values for the relaxation parameter for which the accuracy of the model improves, and propose a stochastic optimisation algorithm to automatically identify the optimal amount of relaxation for a given problem. In this regime, ls SK-ROCK converges faster than competing approaches from the state of the art, and also achieves better accuracy since the underlying augmented Bayesian model has a higher Bayesian evidence. The proposed methodology is demonstrated with a range of numerical experiments related to image deblurring and inpainting, as well as with comparisons with alternative approaches from the state of the art. An open-source implementation of the proposed MCMC methods is available from https://github.com/luisvargasmieles/ls-MCMC.

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