A Recursive Model-Reduction Method for Approximate Inference in Gaussian Markov Random Fields

This paper presents recursive cavity modeling - a principled, tractable approach to approximate, near-optimal inference for large Gauss-Markov random fields. The main idea is to subdivide the random field into smaller subfields, constructing cavity models which approximate these subfields. Each cavity model is a concise, yet faithful, model for the surface of one subfield sufficient for near-optimal inference in adjacent subfields. This basic idea leads to a tree-structured algorithm which recursively builds a hierarchy of cavity models during an ldquoupward passrdquo and then builds a complementary set of blanket models during a reverse ldquodownward pass.rdquo The marginal statistics of individual variables can then be approximated using their blanket models. Model thinning plays an important role, allowing us to develop thinned cavity and blanket models thereby providing tractable approximate inference. We develop a maximum-entropy approach that exploits certain tractable representations of Fisher information on thin chordal graphs. Given the resulting set of thinned cavity models, we also develop a fast preconditioner, which provides a simple iterative method to compute optimal estimates. Thus, our overall approach combines recursive inference, variational learning and iterative estimation. We demonstrate the accuracy and scalability of this approach in several challenging, large-scale remote sensing problems.