A Variational Inference Approach to Inverse Problems with Gamma Hyperpriors

Abstract

.Hierarchical models with gamma hyperpriors provide a flexible, sparsity-promoting framework to bridge \(L^1\) and \(L^2\) regularizations in Bayesian formulations to inverse problems. Despite the Bayesian motivation for these models, existing methodologies are limited to maximum a posteriori estimation. The potential to perform uncertainty quantification has not yet been realized. This paper introduces a variational iterative alternating scheme for hierarchical inverse problems with gamma hyperpriors. The proposed variational inference approach yields accurate reconstruction, provides meaningful uncertainty quantification, and is easy to implement. In addition, it lends itself naturally to conduct model selection for the choice of hyperparameters. We illustrate the performance of our methodology in several computed examples, including a deconvolution problem and sparse identification of dynamical systems from time series data.Keywordsvariational inferencehierarchical inverse problemsiterative alternating schemesparse estimationBayesian shrinkageMSC codes68Q2535Q6262F15