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arxiv: 1707.01764 · v3 · pith:5UWJ3DPZnew · submitted 2017-07-06 · 🧮 math.ST · math.AP· math.NA· stat.TH

Bernstein - von Mises theorems for statistical inverse problems I: Schr\"odinger equation

classification 🧮 math.ST math.APmath.NAstat.TH
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The inverse problem of determining the unknown potential $f>0$ in the partial differential equation $$\frac{\Delta}{2} u - fu =0 \text{ on } \mathcal O ~~\text{s.t. } u = g \text { on } \partial \mathcal O,$$ where $\mathcal O$ is a bounded $C^\infty$-domain in $\mathbb R^d$ and $g>0$ is a given function prescribing boundary values, is considered. The data consist of the solution $u$ corrupted by additive Gaussian noise. A nonparametric Bayesian prior for the function $f$ is devised and a Bernstein - von Mises theorem is proved which entails that the posterior distribution given the observations is approximated in a suitable function space by an infinite-dimensional Gaussian measure that has a `minimal' covariance structure in an information-theoretic sense. As a consequence the posterior distribution performs valid and optimal frequentist statistical inference on $f$ in the small noise limit.

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