Batch-based Bayesian Optimal Experimental Design in Linear Inverse Problems

TL;DR

This paper develops a novel Bayesian optimal experimental design framework for linear inverse problems, focusing on batch sensor placement, using Wasserstein gradient flows and measure relaxation to solve a challenging non-convex optimization problem.

Contribution

It introduces a rigorous Bayesian interpretation of relaxed A-optimal design and develops a Wasserstein gradient-flow algorithm with regularization for batch sensor optimization.

Findings

The proposed method converges reliably in numerical experiments.

Regularization schemes improve convergence to empirical measures.

The approach effectively optimizes sensor placement in linear inverse problems.

Abstract

Experimental design is central to science and engineering. A ubiquitous challenge is how to maximize the value of information obtained from expensive or constrained experimental settings. Bayesian optimal experimental design (OED) provides a principled framework for addressing such questions. In this paper, we study experimental design problems such as the optimization of sensor locations over a continuous domain in the context of linear Bayesian inverse problems. We focus in particular on batch design, that is, the simultaneous optimization of multiple design variables, which leads to a notoriously difficult non-convex optimization problem. We tackle this challenge using a promising strategy recently proposed in the frequentist setting, which relaxes A-optimal design to the space of finite positive measures. Our main contribution is the rigorous identification of the Bayesian inference problem corresponding to this relaxed A-optimal OED formulation. Moreover, building on recent work, we develop a Wasserstein gradient-flow -based optimization algorithm for the expected utility and introduce novel regularization schemes that guarantee convergence to an empirical measure. These theoretical results are supported by numerical experiments demonstrating both convergence and the effectiveness of the proposed regularization strategy.