Noise, Denoise, Correct: MCMC Posterior Sampling with Diffusion Priors in Three Steps
This work addresses the challenge of posterior sampling with diffusion priors under nonlinear, non-differentiable forward models by proposing a method termed Diffusion Waltz. The approach constructs Markov chain Monte Carlo (MCMC) proposal distributions through SDEdit-style noising and denoising, and incorporates observational information via a gradient-free ensemble Kalman update. A Metropolis-Hastings correction is subsequently applied to achieve exact posterior sampling without requiring prior density evaluation. Evaluated on Navier-Stokes initial condition recovery tasks, the proposed method significantly outperforms existing baselines across varying noise levels and degrees of nonlinearity, demonstrating both theoretical rigor and practical effectiveness.