Optimal experimental design for inverse problems with state constraints
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Abstract: In this paper, we address the challenging problem of optimal experimental design (OED) of constrained inverse problems. We consider two OED formulations that allow reducing the experimental costs by minimizing the number of measurements. The first formulation assumes a fine discretization of the design parameter space and uses sparsity promoting regularization to obtain an efficient design. The second formulation parameterizes the design and seeks optimal placement for these measurements by solving a small-dimensional optimization problem. We consider both problems in a Bayes risk as well as an empirical Bayes risk minimization framework. For the unconstrained inverse state problem, we exploit the closed form solution for the inner problem to efficiently compute derivatives for the outer OED problem. The empirical formulation does not require an explicit solution of the inverse problem and therefore allows to integrate constraints efficiently. A key contribution is an efficient optimization method for solving the resulting, typically high-dimensional, bilevel optimization problem using derivative-based methods. To overcome the lack of non-differentiability in active set methods for inequality constraints problems, we use a relaxed interior point method. To address the growing computational complexity of empirical Bayes OED, we parallelize the computation over the training models. Numerical examples and illustrations from tomographic reconstruction, for various data sets and under different constraints, demonstrate the impact of constraints on the optimal design and highlight the importance of OED for constrained problems.
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- Experimental design in the context of Tikhonov regularized inverse problems
- Optimal Experimental Design for Inverse Problems in the Presence of Observation Correlations
- A bilevel learning approach for optimal observation placement in variational data assimilation
- Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency
- Efficient Optimization of Plasma Radiation Detector Configurations using Imperfect Inference Models
- Optimal design of large-scale Bayesian linear inverse problems under reducible model uncertainty: good to know what you don't know
- Edge-promoting adaptive Bayesian experimental design for X-ray imaging
- Optimal experimental design under irreducible uncertainty for linear inverse problems governed by PDEs
- Learning regularization parameters of inverse problems via deep neural networks
- Stability estimates for the expected utility in Bayesian optimal experimental design
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