Gradient scan Gibbs sampler: An efficient high-dimensional sampler application in inverse problems

F. Orieux, O. Feron, J.-F. Giovannelli
2015 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)  
The paper deals with Gibbs samplers that include high-dimensional conditional Gaussian distributions. It proposes an efficient algorithm that only requires a scalar Gaussian sampling. The algorithm relies on a random excursion along a random direction. It is proved to converge, i.e. the drawn samples are asymptotically under the target distribution. Our original motivation is in unsupervised inverse problems related to general linear observation models and their solution in a hierarchical
more » ... hierarchical Bayesian framework implemented through sampling algorithms. The paper provides an illustration focused on 2-D simulations and on the super-resolution problem.
doi:10.1109/icassp.2015.7178739 dblp:conf/icassp/OrieuxFG15 fatcat:wcicbfxiqfbjfoysy5ezoznplu