Randomization and reweighted _1-minimization for A-optimal design of linear inverse problems
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Publication:3300853
Abstract: We consider optimal design of PDE-based Bayesian linear inverse problems with infinite-dimensional parameters. We focus on the A-optimal design criterion, defined as the average posterior variance and quantified by the trace of the posterior covariance operator. We propose using structure exploiting randomized methods to compute the A-optimal objective function and its gradient, and provide a detailed analysis of the error for the proposed estimators. To ensure sparse and binary design vectors, we develop a novel reweighted -minimization algorithm. We also introduce a modified A-optimal criterion and present randomized estimators for its efficient computation. We present numerical results illustrating the proposed methods on a model contaminant source identification problem, where the inverse problem seeks to recover the initial state of a contaminant plume, using discrete measurements of the contaminant in space and time.
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Cited in
(11)- Numerical methods for A-optimal designs with a sparsity constraint for ill-posed inverse problems
- Optimal experimental design for infinite-dimensional Bayesian inverse problems governed by PDEs: a review
- A-optimal encoding weights for nonlinear inverse problems, with application to the Helmholtz inverse problem
- Optimal Experimental Design for Inverse Problems in the Presence of Observation Correlations
- Learning physics-based models from data: perspectives from inverse problems and model reduction
- An unexpected connection between Bayes \(A\)-optimal designs and the group Lasso
- Optimal design of large-scale Bayesian linear inverse problems under reducible model uncertainty: good to know what you don't know
- Weighted sparsity regularization for source identification for elliptic PDEs
- Randomized Low-Rank Approximation of Monotone Matrix Functions
- Monte Carlo estimators for the Schatten \(p\)-norm of symmetric positive semidefinite matrices
- A-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems with regularized \(\ell_0\)-sparsification
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