Conditional score-based diffusion models for Bayesian inference in infinite dimensions

• URL: http://arxiv.org/abs/2305.19147v2
• Date: Fri, 27 Oct 2023 19:31:22 GMT
• Title: Conditional score-based diffusion models for Bayesian inference in infinite dimensions
• Authors: Lorenzo Baldassari, Ali Siahkoohi, Josselin Garnier, Knut Solna, Maarten V. de Hoop
• Abstract summary: We propose a theoretically grounded method for sampling from the posterior of infinite-dimensional inverse problems based on amortized conditional SDMs. A significant part of our analysis is dedicated to demonstrating that extending infinite-dimensional SDMs to the conditional setting requires careful consideration.
• Score: 4.747324197963405
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Since their initial introduction, score-based diffusion models (SDMs) have been successfully applied to solve a variety of linear inverse problems in finite-dimensional vector spaces due to their ability to efficiently approximate the posterior distribution. However, using SDMs for inverse problems in infinite-dimensional function spaces has only been addressed recently, primarily through methods that learn the unconditional score. While this approach is advantageous for some inverse problems, it is mostly heuristic and involves numerous computationally costly forward operator evaluations during posterior sampling. To address these limitations, we propose a theoretically grounded method for sampling from the posterior of infinite-dimensional Bayesian linear inverse problems based on amortized conditional SDMs. In particular, we prove that one of the most successful approaches for estimating the conditional score in finite dimensions - the conditional denoising estimator - can also be applied in infinite dimensions. A significant part of our analysis is dedicated to demonstrating that extending infinite-dimensional SDMs to the conditional setting requires careful consideration, as the conditional score typically blows up for small times, contrarily to the unconditional score. We conclude by presenting stylized and large-scale numerical examples that validate our approach, offer additional insights, and demonstrate that our method enables large-scale, discretization-invariant Bayesian inference.

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