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dc.contributor.authorBeck, Joakim
dc.contributor.authorDia, Ben Mansour
dc.contributor.authorEspath, Luis
dc.contributor.authorTempone, Raul
dc.date.accessioned2019-01-10T11:59:05Z
dc.date.available2019-01-10T11:59:05Z
dc.date.issued2018-11-28
dc.identifier.urihttp://hdl.handle.net/10754/630786.1
dc.description.abstractAn optimal experimental set-up maximizes the value of data for statistical inference and prediction, which is particularly important for experiments that are time consuming or expensive to perform. In the context of partial differential equations (PDEs), multilevel methods have been proven in many cases to dramatically reduce the computational complexity of their single-level counterparts. Here, two multilevel methods are proposed to efficiently compute the expected information gain using a Kullback-Leibler divergence measure in simulation-based Bayesian optimal experimental design. The first method is a multilevel double loop Monte Carlo (MLDLMC) with importance sampling, which greatly reduces the computational work of the inner loop. The second proposed method is a multilevel double loop stochastic collocation (MLDLSC) with importance sampling, which is high-dimensional integration by deterministic quadrature on sparse grids. In both methods, the Laplace approximation is used as an effective means of importance sampling, and the optimal values for method parameters are determined by minimizing the average computational work subject to a desired error tolerance. The computational efficiencies of the methods are demonstrated for computing the expected information gain for Bayesian inversion to infer the fiber orientation in composite laminate materials by an electrical impedance tomography experiment, given a particular set-up of the electrode configuration. MLDLSC shows a better performance than MLDLMC by exploiting the regularity of the underlying computational model with respect to the additive noise and the unknown parameters to be statistically inferred.
dc.description.sponsorshipThis work was supported by the KAUST Office of Sponsored Research (OSR) under award numbers URF/1/2281-01-01 and URF/1/2584-01-01 in the KAUST Competitive Research Grants ProgramRound 3 and 4, respectively, and the Alexander von Humboldt Foundation.
dc.publisherarXiv
dc.relation.ispartofseriesArXiv e-prints
dc.relation.urlhttps://arxiv.org/pdf/1811.11469.pdf
dc.titleMultilevel Double Loop Monte Carlo and Stochastic Collocation Methods with Importance Sampling for Bayesian Optimal Experimental Design
dc.typePreprint
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.identifier.arxivid1811.11469
refterms.dateFOA2019-01-10T11:59:05Z


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