Quasi-Monte Carlo for Bayesian design of experiment problems governed by parametric PDEs
arXiv:2405.03529
The paper studies Bayesian optimal experimental design for PDE-governed inverse problems, deriving regularity estimates and analyzing quasi‑Monte Carlo integration using full and sparse tensor product rules to improve convergence rates, with numerical tests on a 2‑D elliptic diffusion problem.
Abstract
This paper contributes to the study of optimal experimental design for Bayesian inverse problems governed by partial differential equations (PDEs). We derive estimates for the parametric regularity of multivariate double integration problems over high-dimensional parameter and data domains arising in Bayesian optimal design problems. We provide a detailed analysis for these double integration problems using two approaches: a full tensor product and a sparse tensor product combination of quasi-Monte Carlo (QMC) cubature rules over the parameter and data domains. Specifically, we show that the latter approach significantly improves the convergence rate, exhibiting performance comparable to that of QMC integration of a single high-dimensional integral. Furthermore, we numerically verify the predicted convergence rates for an elliptic PDE problem with an unknown diffusion coefficient in two spatial dimensions, offering empirical evidence supporting the theoretical results and highlighting practical applicability.