MAP Estimators and Their Consistency in Bayesian Nonparametric Inverse Problems

We consider the inverse problem of estimating an unknown function $u$ from noisy measurements $y$ of a known, possibly nonlinear, map $\mathcal{G}$ applied to $u$. We adopt a Bayesian approach to the problem and work in a setting where the prior measure is specified as a Gaussian random field $μ_0$. We work under a natural set of conditions on the likelihood which imply the existence of a well-posed posterior measure, $μ^y$. Under these conditions we show that the {\em maximum a posteriori} (MAP) estimator is well-defined as the minimiser of an Onsager-Machlup functional defined on the Cameron-Martin space of the prior; thus we link a problem in probability with a problem in the calculus of variations. We then consider the case where the observational noise vanishes and establish a form of Bayesian posterior consistency. We also prove a similar result for the case where the observation of $\mathcal{G}(u)$ can be repeated as many times as desired with independent identically distributed noise. The theory is illustrated with examples from an inverse problem for the Navier-Stokes equation, motivated by problems arising in weather forecasting, and from the theory of conditioned diffusions, motivated by problems arising in molecular dynamics.

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