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This paper introduces a new supervised Bayesian approach to hyperspectral image segmentation with active learning, which consists of two main steps. First, we use a multinomial logistic regression (MLR) model to learn the class posterior probability distributions. This is done by using a recently introduced logistic regression via splitting and augmented Lagrangian algorithm. Second, we use the information acquired in the previous step to segment the hyperspectral image using a multilevel logistic prior that encodes the spatial information. In order to reduce the cost of acquiring large training sets, active learning is performed based on the MLR posterior probabilities. Another contribution of this paper is the introduction of a new active sampling approach, called modified breaking ties, which is able to provide an unbiased sampling. Furthermore, we have implemented our proposed method in an efficient way. For instance, in order to obtain the time-consuming maximum a posteriori segmentation, we use the α-expansion min-cut-based integer optimization algorithm. The state-of-the-art performance of the proposed approach is illustrated using both simulated and real hyperspectral data sets in a number of experimental comparisons with recently introduced hyperspectral image analysis methods.