Semivariogram methods for modeling Whittle-Matérn priors in Bayesian inverse problems

Richard D. Brown, Johnathan M. Bardsley, Tiangang Cui

Research output: Contribution to journalArticlepeer-review

Abstract

We present a new technique, based on semivariogram methodology, for obtaining point estimates for use in prior modeling for solving Bayesian inverse problems. This method requires a connection between Gaussian processes with covariance operators defined by the Matérn covariance function and Gaussian processes with precision (inverse-covariance) operators defined by the Green's functions of a class of elliptic stochastic partial differential equations (SPDEs). We present a detailed mathematical description of this connection. We will show that there is an equivalence between these two Gaussian processes when the domain is infinite - for us, R2- which breaks down when the domain is finite due to the effect of boundary conditions on Green's functions of PDEs. We show how this connection can be re-established using extended domains. We then introduce the semivariogram method for estimating the Matérn covariance hyperparameters, which specify the Gaussian prior needed for stabilizing the inverse problem. Results are extended from the isotropic case to the anisotropic case where the correlation length in one direction is larger than another. Finally, we consider the situation where the correlation length is spatially dependent rather than constant. We implement each method in two-dimensional image inpainting test cases to show that it works on practical examples.

Original languageEnglish
Article number055006
JournalInverse Problems
Volume36
Issue number5
DOIs
StatePublished - May 2020

Keywords

  • Bayesian methods
  • Gaussian field
  • Whittle-Matern
  • boundary conditions
  • inverse problems
  • stochastic partial differential equations
  • variogram

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