Optimal Bayesian experimental design for subsurface flow problems

DOI10.1016/J.CMA.2020.113208zbMATH Open1506.62354arXiv2008.03989OpenAlexW3041174345MaRDI QIDQ2020243FDOQ2020243

Alexadner Tarakanov, Ahmed H. Elsheikh

Publication date: 23 April 2021

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Abstract: Optimal Bayesian design techniques provide an estimate for the best parameters of an experiment in order to maximize the value of measurements prior to the actual collection of data. In other words, these techniques explore the space of possible observations and determine an experimental setup that produces maximum information about the system parameters on average. Generally, optimal Bayesian design formulations result in multiple high-dimensional integrals that are difficult to evaluate without incurring significant computational costs as each integration point corresponds to solving a coupled system of partial differential equations. In the present work, we propose a novel approach for development of polynomial chaos expansion (PCE) surrogate model for the design utility function. In particular, we demonstrate how the orthogonality of PCE basis polynomials can be utilized in order to replace the expensive integration over the space of possible observations by direct construction of PCE approximation for the expected information gain. This novel technique enables the derivation of a reasonable quality response surface for the targeted objective function with a computational budget comparable to several single-point evaluations. Therefore, the proposed technique reduces dramatically the overall cost of optimal Bayesian experimental design. We evaluate this alternative formulation utilizing PCE on few numerical test cases with various levels of complexity to illustrate the computational advantages of the proposed approach.

Full work available at URL: https://arxiv.org/abs/2008.03989

zbMATH Keywords

polynomial chaos expansionBayesian experimental design

Mathematics Subject Classification ID

Bayesian inference (62F15) Optimal statistical designs (62K05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cited In (3)

• A Bayesian framework for the validation of models for subsurface flows: synthetic experiments
• Multimodal information gain in Bayesian design of experiments
• Variational Bayesian approximation of inverse problems using sparse precision matrices

Uses Software

• Scikit
• GitHub

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