Efficient D-optimal design of experiments for infinite-dimensional Bayesian linear inverse problems

TL;DR

This paper introduces a computational framework for D-optimal experimental design in infinite-dimensional Bayesian inverse problems, leveraging low-rank structures and randomized estimators to enable efficient large-scale PDE-based applications.

Contribution

It develops novel algorithms that exploit low-rank structures and randomized estimators for efficient D-optimal design in infinite-dimensional Bayesian inverse problems.

Findings

Efficient algorithms for D-optimal design using low-rank approximations.

Effective randomized estimators for high-dimensional operator determinants.

Successful application to sensor placement in a PDE-based state reconstruction.

Abstract

We develop a computational framework for D-optimal experimental design for PDE-based Bayesian linear inverse problems with infinite-dimensional parameters. We follow a formulation of the experimental design problem that remains valid in the infinite-dimensional limit. The optimal design is obtained by solving an optimization problem that involves repeated evaluation of the log-determinant of high-dimensional operators along with their derivatives. Forming and manipulating these operators is computationally prohibitive for large-scale problems. Our methods exploit the low-rank structure in the inverse problem in three different ways, yielding efficient algorithms. Our main approach is to use randomized estimators for computing the D-optimal criterion, its derivative, as well as the Kullback--Leibler divergence from posterior to prior. Two other alternatives are proposed based on a low-rank approximation of the prior-preconditioned data misfit Hessian, and a fixed low-rank approximation of the prior-preconditioned forward operator. Detailed error analysis is provided for each of the methods, and their effectiveness is demonstrated on a model sensor placement problem for initial state reconstruction in a time-dependent advection-diffusion equation in two space dimensions.