The coupling from the past (CFTP) procedure is a protocol for finite-state Markov chain Monte Carlo (MCMC) methods whereby the algorithm itself can determine the necessary runtime to convergence. In this paper, we demonstrate how this protocol can be applied to the problem of signal reconstruction using Bayesian wavelet analysis where the dimensionality of the wavelet basis set is unknown, and the observations are distorted by Gaussian white noise of unknown variance. MCMC simulation is used to account for model uncertainty by drawing samples of wavelet bases for approximating integrals (or summations) on the model space that are either too complex or too computationally demanding to perform analytically. We extend the CFTP protocol by making use of the central limit theorem to show how the algorithm can also monitor its own approximation error induced by MCMC. In this way, we can assess the number of MCMC samples needed to approximate the integral to within a user specified tolerance level. Hence, the method automatically ensures convergence and determines the necessary number of iterations needed to meet the error criteria.

Original publication

DOI

10.1109/78.978388

Type

Journal article

Journal

IEEE Transactions on Signal Processing

Publication Date

01/02/2002

Volume

50

Pages

337 - 344