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Matrix-free large-scale Bayesian inference in cosmology

Abstract : In this work we propose a new matrix-free implementation of the Wiener sampler which is traditionally applied to high-dimensional analysis when signal covariances are unknown. Specifically, the proposed method addresses the problem of jointly inferring a high-dimensional signal and its corresponding covariance matrix from a set of observations. Our method implements a Gibbs sampling adaptation of the previously presented messenger approach, permitting to cast the complex multivariate inference problem into a sequence of univariate random processes. In this fashion, the traditional requirement of inverting high-dimensional matrices is completely eliminated from the inference process, resulting in an efficient algorithm that is trivial to implement. Using cosmic large-scale structure data as a showcase, we demonstrate the capabilities of our Gibbs sampling approach by performing a joint analysis of three-dimensional density fields and corresponding power spectra from Gaussian mock data. These tests clearly demonstrate the ability of the algorithm to accurately provide measurements of the three-dimensional density field and its power spectrum and corresponding uncertainty quantification. Moreover, these tests reveal excellent numerical and statistical efficiency which will generally render the proposed algorithm a valuable addition to the toolbox of large-scale Bayesian inference in cosmology and astrophysics.
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https://hal-insu.archives-ouvertes.fr/insu-03644763
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Submitted on : Monday, April 25, 2022 - 5:16:11 PM
Last modification on : Thursday, May 12, 2022 - 6:22:03 PM

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Jens Jasche, Guilhem Lavaux. Matrix-free large-scale Bayesian inference in cosmology. Monthly Notices of the Royal Astronomical Society, Oxford University Press (OUP): Policy P - Oxford Open Option A, 2015, 447, pp.1204-1212. ⟨10.1093/mnras/stu2479⟩. ⟨insu-03644763⟩

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