Aug 12 – 16, 2024
Von-Melle-Park 8
Europe/Berlin timezone

Tractable optimal experimental design using transport maps

Aug 13, 2024, 4:30 PM
30m
Seminarraum 207 (Von-Melle-Park 8)

Seminarraum 207

Von-Melle-Park 8

Minisymposium Contribution MS 04: Correlation-based passive imaging and optimal experimental design MS 04: Correlation-based passive imaging and optimal experimental design

Speaker

Karina Koval (Heidelberg University)

Description

We present an approach for optimal experimental design (OED) for Bayesian inverse problems characterized by non-Gaussian, intractable posteriors. Our transport-map-based approach is versatile, accommodating various optimality criteria, design types, and prior distributions. In this talk, we highlight the key aspects of our method with a focus on the Bayesian D-optimality criterion, which aims to maximize the expected information gain from prior to posterior. A crucial tool for our approach is the Knothe-Rosenblatt rearrangement, which facilitates efficient sampling from conditional distributions that appear in many optimality criteria. We construct this map via a tensor train surrogate to the intractable target density. We also discuss extensions of our approach to sequential design problems and supplement our discussion with numerical examples.

Primary authors

Karina Koval (Heidelberg University) Prof. Robert Scheichl (Heidelberg University) Prof. Roland Herzog (Heidelberg University)

Presentation materials

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