On Bayesian A- and D-optimal experimental designs in infinite dimensions
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Publication:516499
DOI10.1214/15-BA969zbMATH Open1359.62315arXiv1408.6323WikidataQ57430690 ScholiaQ57430690MaRDI QIDQ516499FDOQ516499
Authors: Alen Alexanderian, Philip J. Gloor, Omar Ghattas 
Publication date: 14 March 2017
Published in: Bayesian Analysis (Search for Journal in Brave)
Abstract: We consider Bayesian linear inverse problems in infinite-dimensional separable Hilbert spaces, with a Gaussian prior measure and additive Gaussian noise model, and provide an extension of the concept of Bayesian D-optimality to the infinite-dimensional case. To this end, we derive the infinite-dimensional version of the expression for the Kullback-Leibler divergence from the posterior measure to the prior measure, which is subsequently used to derive the expression for the expected information gain. We also study the notion of Bayesian A-optimality in the infinite-dimensional setting, and extend the well known (in the finite-dimensional case) equivalence of the Bayes risk of the MAP estimator with the trace of the posterior covariance, for the Gaussian linear case, to the infinite-dimensional Hilbert space case.
Full work available at URL: https://arxiv.org/abs/1408.6323
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