Preconditioned iterative methods for linear discrete ill-posed problems from a Bayesian inversion perspective

AbstractIn this paper we revisit the solution of ill-posed problems by preconditioned iterative methods from a Bayesian statistical inversion perspective. After a brief review of the most popular Krylov subspace iterative methods for the solution of linear discrete ill-posed problems and some basic statistics results, we analyze the statistical meaning of left and right preconditioners, as well as projected-restarted strategies. Computed examples illustrating the interplay between statistics and preconditioning are also presented