A bilevel learning approach for optimal observation placement in variational data assimilation
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Publication:5000561
supervised learningbilevel optimizationvariational data assimilationsingular optimal control with measures
Learning and adaptive systems in artificial intelligence (68T05) Large-scale problems in mathematical programming (90C06) Methods of quasi-Newton type (90C53) PDEs in connection with control and optimization (35Q93) Existence theories for optimal control problems involving partial differential equations (49J20) Optimality conditions for problems involving partial differential equations (49K20) Newton-type methods (49M15) Numerical solution to inverse problems in abstract spaces (65J22) PDE constrained optimization (numerical aspects) (49M41)
Abstract: In this paper we propose a bilevel optimization approach for the placement of space and time observations in variational data assimilation problems. Within the framework of supervised learning, we consider a bilevel problem where the lower-level task is the variational reconstruction of the initial condition of a semilinear system, and the upper-level problem solves the optimal placement with help of a sparsity inducing function. Due to the pointwise nature of the observations, an optimality system with regular Borel measures is obtained as necessary optimality condition for the lower-level problem. The latter is then considered as constraint for the upper-level instance, yielding an optimization problem constrained by a multi-state system with measures. We demonstrate existence of Lagrange multipliers and derive a necessary optimality system characterizing the optimal solution of the bilevel problem. The numerical solution is carried out also on two levels. The lower-level problem is solved using a standard BFGS method, while the upper-level one is solved by means of a projected BFGS algorithm based on the estimation of -active sets. Finally some numerical experiments are presented to illustrate the main features of our approach.
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