Instability of an inverse problem for the stationary radiative transport near the diffusion limit

In this work, we study the instability of an inverse problem of radiative transport equation with angularly averaged measurement near the diffusion limit, i.e. the normalized mean free path (the Knudsen number) 0 < \eps \ll 1. It is well-known that there is a transition of stability from H\"{o}lder type to logarithmic type with \eps\to 0, the theory of this transition of stability is still an open problem. In this study, we show the transition of stability by establishing the balance of two different regimes depending on the relative sizes of \eps and the perturbation in measurements. When \eps is sufficiently small, we obtain exponential instability, which stands for the diffusive regime, and otherwise we obtain H\"{o}lder instability instead, which stands for the transport regime.Comment: 20 page

Marchenko-Pastur law with relaxed independence conditions

We prove the Marchenko-Pastur law for the eigenvalues of $p \times p$ sample covariance matrices in two new situations where the data does not have independent coordinates. In the first scenario - the block-independent model - the $p$ coordinates of the data are partitioned into blocks in such a way that the entries in different blocks are independent, but the entries from the same block may be dependent. In the second scenario - the random tensor model - the data is the homogeneous random tensor of order $d$, i.e. the coordinates of the data are all $\binom{n}{d}$ different products of $d$ variables chosen from a set of $n$ independent random variables. We show that Marchenko-Pastur law holds for the block-independent model as long as the size of the largest block is $o(p)$ and for the random tensor model as long as $d = o(n^{1/3})$. Our main technical tools are new concentration inequalities for quadratic forms in random variables with block-independent coordinates, and for random tensors

Variational Hamiltonian Monte Carlo via Score Matching

Traditionally, the field of computational Bayesian statistics has been divided into two main subfields: variational methods and Markov chain Monte Carlo (MCMC). In recent years, however, several methods have been proposed based on combining variational Bayesian inference and MCMC simulation in order to improve their overall accuracy and computational efficiency. This marriage of fast evaluation and flexible approximation provides a promising means of designing scalable Bayesian inference methods. In this paper, we explore the possibility of incorporating variational approximation into a state-of-the-art MCMC method, Hamiltonian Monte Carlo (HMC), to reduce the required gradient computation in the simulation of Hamiltonian flow, which is the bottleneck for many applications of HMC in big data problems. To this end, we use a {\it free-form} approximation induced by a fast and flexible surrogate function based on single-hidden layer feedforward neural networks. The surrogate provides sufficiently accurate approximation while allowing for fast exploration of parameter space, resulting in an efficient approximate inference algorithm. We demonstrate the advantages of our method on both synthetic and real data problems

Hamiltonian Monte Carlo Acceleration Using Surrogate Functions with Random Bases

For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an efficient and scalable computational technique for a state-of-the-art Markov Chain Monte Carlo (MCMC) methods, namely, Hamiltonian Monte Carlo (HMC). The key idea is to explore and exploit the structure and regularity in parameter space for the underlying probabilistic model to construct an effective approximation of its geometric properties. To this end, we build a surrogate function to approximate the target distribution using properly chosen random bases and an efficient optimization process. The resulting method provides a flexible, scalable, and efficient sampling algorithm, which converges to the correct target distribution. We show that by choosing the basis functions and optimization process differently, our method can be related to other approaches for the construction of surrogate functions such as generalized additive models or Gaussian process models. Experiments based on simulated and real data show that our approach leads to substantially more efficient sampling algorithms compared to existing state-of-the art methods

A new phase space method for recovering index of refraction from travel times

We develop a new phase space method for reconstructing the index of refraction of a medium from travel time measurements. The method is based on the so-called Stefanov–Uhlmann identity which links two Riemannian metrics with their travel time information. We design a numerical algorithm to solve the resulting inverse problem. The new algorithm is a hybrid approach that combines both Lagrangian and Eulerian formulations. In particular the Lagrangian formulation in phase space can take into account multiple arrival times naturally, while the Eulerian formulation for the index of refraction allows us to compute the solution in physical space. Numerical examples including isotropic metrics and the Marmousi synthetic model are shown to validate the new method