Randomization and reweighted _1-minimization for A-optimal design of linear inverse problems

DOI10.1137/19M1267362zbMATH Open1442.62175arXiv1906.03791MaRDI QIDQ3300853FDOQ3300853

Authors: Elizabeth Herman, Alen Alexanderian, Arvind K. Saibaba 

Publication date: 30 July 2020

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

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 $el{l}_1$-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.

Full work available at URL: https://arxiv.org/abs/1906.03791

Recommendations

• A-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems with regularized \(\ell_0\)-sparsification
• Numerical methods for \(A\)-optimal designs with a sparsity constraint for ill-posed inverse problems
• Efficient D-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems
• Optimal experimental design under irreducible uncertainty for linear inverse problems governed by PDEs
• Optimal design of large-scale Bayesian linear inverse problems under reducible model uncertainty: good to know what you don't know

zbMATH Keywords

uncertainty quantificationBayesian inversionlarge-scale ill-posed inverse problemsA-optimal experimental designrandomized matrix methodsreweighted \(\ell_1\) minimization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Optimal statistical designs (62K05) Randomized algorithms (68W20) Inverse problems for PDEs (35R30) PDEs in connection with statistics (35Q62)

Cites Work

• Bayesian experimental design: A review
• Title not available (Why is that?)
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Randomized matrix-free trace and log-determinant estimators
• MM optimization algorithms
• Title not available (Why is that?)
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• Optimal Measurement Methods for Distributed Parameter System Identification
• Inverse problems: a Bayesian perspective
• A computational framework for infinite-dimensional Bayesian inverse problems. I: The linearized case, with application to global seismic inversion
• On Bayesian A- and D-optimal experimental designs in infinite dimensions
• Extension of Rotfel'd Theorem
• Numerical methods for the design of large-scale nonlinear discrete ill-posed inverse problems
• Numerical methods for experimental design of large-scale linear ill-posed inverse problems
• Numerical methods for \(A\)-optimal designs with a sparsity constraint for ill-posed inverse problems
• A-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems with regularized \(\ell_0\)-sparsification
• Goal-oriented optimal design of experiments for large-scale Bayesian linear inverse problems
• Efficient D-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems
• Adaptive A-optimal experimental design for linear dynamical systems

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

This page was built for publication: Randomization and reweighted \(\ell_1\)-minimization for A-optimal design of linear inverse problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3300853)