An Offline-Online Decomposition Method for Efficient Linear Bayesian Goal-Oriented Optimal Experimental Design: Application to Optimal Sensor Placement

Abstract

.Bayesian optimal experimental design (OED) plays an important role in minimizing model uncertainty with limited experimental data in a Bayesian framework. In many applications, rather than minimizing the uncertainty in the inference of model parameters, one seeks to minimize the uncertainty of a model-dependent quantity of interest (QoI). This is known as goal-oriented OED (GOOED). Here, we consider GOOED for linear Bayesian inverse problems governed by large-scale models represented by partial differential equations (PDE) that are computationally expensive to solve. In particular, we consider optimal sensor placement by maximizing an expected information gain (EIG) for the QoI. We develop an efficient method to solve such problems by deriving a new formulation of the goal-oriented EIG. Based on this formulation we propose an offline-online decomposition scheme that achieves significant computational reduction by computing all of the PDE-dependent quantities in an offline stage just once, and optimizing the sensor locations in an online stage without solving any PDEs. Moreover, in the offline stage we need only to compute low-rank approximations of two Hessian-related operators. The computational cost of these low-rank approximations, measured by the number of PDE solves, does not depend on the parameter or data dimensions for a large class of elliptic, parabolic, and sufficiently dissipative hyperbolic inverse problem that exhibit dimension-independent rapid spectra decay. We carry out detailed error analysis for the approximate goal-oriented EIG due to the low-rank approximations of the two operators. Furthermore, in the online stage we extend a swapping greedy method to optimize the sensor locations developed in our recent work that is demonstrated to be more efficient than a standard greedy method. We conduct a numerical experiment for a contaminant transport inverse problem with an infinite-dimensional parameter field to demonstrate the efficiency, accuracy, and both data- and parameter-dimension independence of the proposed algorithm.Keywordsoptimal experimental designgoal orientedBayesian inverse problemslow-rank approximationsMSC codes62K0535Q6262F1535R3035Q9365C6090C27

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