This paper proposes a progressive Bayesian multiple-input multiple-output (MIMO) sensing framework for multiple targets over multiple stages. We consider a practical yet challenging scenario where the targets' angles are unknown and random parameters to be estimated, while the targets' reflection coefficients are unknown nuisance parameters. With an initial prior probability density function (PDF) for the targets' angles, we progressively update the prior PDF for each sensing stage as the posterior PDF obtained from the previous stage, based on which Bayesian transmit beamforming optimization is performed to minimize the sum posterior Cramér-Rao bound (PCRB) in estimating the targets' angles and Bayesian sensing is performed with the help of new observations in this stage. To analytically characterize the intractable and high-dimensional posterior PDF with low complexity, we propose a variational Bayesian inference based approach which derives a surrogate posterior PDF in closed form with only polynomial complexity over the number of targets, in sharp contrast to existing numerical calculation approaches with exponential complexity. Numerical results validate the efficacy of our proposed framework in progressively refining sensing performance.

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