arXiv subjects

Alen Alexanderian

Publications and source records attributed to Alen Alexanderian.

At least 19 recordsLinked to original sources

arXiv2026

Risk-Aware Goal-Oriented Bayesian Optimal Experimental Design

Traditional Bayesian optimal experimental design (OED) selects measurements that best inform a model's parameters. However, such measurements can be suboptimal for downstream predictions. Goal-oriented OED targets the prediction directly. However, the existing goal-oriented criteria value all reductions in predictive uncertainty equally, with no way to prioritize rare, high-consequence outcomes. In this article, we develop a risk-aware framework that composes risk at three levels, each generalizing an ingredient of classical $I$- and $G$-optimal design: a deviation measure of the posterior predictive uncertainty (generalizing the predictive variance), a risk measure across the prediction domain (interpolating $I$-optimal averaging and $G$-optimal worst-case selection), and a risk measure over datasets (generalizing the expectation). We generate each level from a regret function in the risk quadrangle, so that one triple specifies a practitioner's risk preference. We relax the design to continuous weights on the unit simplex and construct a nested-quadrature estimator that is differentiable in the design variable. This enables solving the optimal design problem with gradient-based methods, avoiding a combinatorial search over candidate designs. For a linear-Gaussian lognormal model and a nonlinear extension, we derive closed-form objectives. These give exact references against which we verify that the estimator converges. We demonstrate this framework for finding optimal sensor placements in an inverse problem governed by an advection-diffusion equation. We find that the risk-aware designs substantially outperform the expected-information-gain baseline, which is statistically indistinguishable from a random allocation.

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arXiv2026

Multi-type Sensor Placement for PDE-based Bayesian Inverse Problems

We address optimal placement of multi-type sensors for Bayesian inverse problems governed by partial differential equations (PDEs). The proposed framework allows for sensors with different accuracies and observation types. We formulate the optimal experimental design (OED) problem as a knapsack-constrained binary optimization problem for maximizing expected information gain (EIG). To approximately solve the resulting optimization problems, we propose a stochastic cost-benefit greedy algorithm, which admits theoretical guarantees for monotone submodular set functions. Specifically, these guarantees apply in the case of linear Gaussian inverse problems with uncorrelated measurement errors, where the EIG admits a convenient closed-form expression. For nonlinear inverse problems, we develop a non-intrusive approach that uses the Bayesian approximation error framework to define an observation model with an error-corrected global linear model. We show that the corresponding approximate EIG is a lower bound for the exact EIG and thus provides a principled surrogate objective for the OED problem. The effectiveness of the proposed methods is demonstrated in two model inverse problems governed by PDEs.

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arXiv2026

A Primer on the Karhunen-Lo\`eve Expansion

This article provides a primer on the spectral representation of random fields via the Karhunen-Lo\`eve Expansion (KLE). The goal is to bridge the gap between the theoretical foundations of the KLE and its application in computational modeling under uncertainty. We detail how tools from operator theory and probability are combined to analyze the convergence and optimality of the KLE. We also emphasize the associated computational and mathematical modeling considerations.

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arXiv2026

FlexTrace: Exchangeable Randomized Trace Estimation for Matrix Functions

We consider the task of estimating the trace of a matrix function, ${\rm tr}(f({\bf A}))$, of a large symmetric positive semi-definite matrix ${\bf A}$. This problem arises in multiple applications, including kernel methods and inverse problems. A key challenge across existing trace estimation methods is the need for matrix-vector products (matvecs) with $f({\bf A})$, which can be very expensive. In this article, we introduce a novel trace estimator, FlexTrace, an exchangeable, single-pass method that estimates ${\rm tr}(f({\bf A}))$ solely using matvecs with ${\bf A}$. We consider the case where $f$ is an operator monotone matrix function with $f(0)=0$, which includes functions such as $\log(1+x)$ and $x^{1/2}$, and derive probabilistic bounds showcasing the theoretical advantages of FlexTrace. Numerical experiments across synthetic examples and application domains demonstrate that FlexTrace provides substantially more accurate estimates of the trace of $f({\bf A})$ compared to existing methods.

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arXiv2026

A new kernel-based approach for the global sensitivity analysis of models with correlated inputs

We present an HSIC-based approach for global sensitivity analysis of broad classes of models with correlated and possibly function-valued inputs and outputs. To this end, we define the first-order and total HSIC sensitivity indices, which are bounded, interpretable, and moment-independent analogues to the first-order and total-effect Sobol' indices, respectively. These desirable qualities hinge upon the key property of monotonicity under marginalization for the HSIC. We rigorously establish this monotonicity property by using a suitable class of augmented kernels. Furthermore, we provide an efficient algorithm for computing an empirical estimator of the HSIC that significantly reduces computational complexity and storage requirements. The effectiveness and interpretability of the first-order and total HSIC sensitivity indices are demonstrated through computational experiments on models that feature nonlinear relationships, correlated inputs, and functional outputs.

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arXiv2026

Submodularity of the expected information gain in infinite-dimensional linear inverse problems

We consider infinite-dimensional linear Gaussian Bayesian inverse problems with uncorrelated measurement errors and focus on the problem of selecting sensor placements that maximize the expected information gain (EIG). This study is motivated by optimal sensor placement for linear inverse problems constrained by partial differential equations (PDEs). We consider measurement models where each sensor collects a single-snapshot measurement. This covers sensor placement for inverse problems governed by linear steady PDEs or evolution equations with final-in-time observations. It is well-known that in the finite-dimensional (discretized) formulations of such inverse problems, the EIG is a monotone submodular function. This also entails a theoretical guarantee for greedy sensor placement in the discretized setting. We extend the result on submodularity of the EIG to the infinite-dimensional setting, proving that the approximation guarantee of greedy sensor placement remains valid in the infinite-dimensional limit. We also discuss computational considerations and present strategies that exploit problem structure and submodularity to yield efficient implementations of the greedy procedure.

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arXiv2026

Path-OED for infinite-dimensional Bayesian linear inverse problems governed by PDEs

We consider infinite-dimensional Bayesian linear inverse problems governed by time-dependent partial differential equations (PDEs) and develop a mathematical and computational framework for optimal design of mobile sensor paths in this setting. The proposed path optimal experimental design (path-OED) framework is established rigorously in a function space setting and elaborated for the case of Bayesian c-optimality, which quantifies the posterior variance in a linear functional of the inverse parameter. The latter is motivated by goal-oriented formulations, where we seek to minimize the uncertainty in a scalar prediction of interest. To facilitate computations, we complement the proposed infinite-dimensional framework with discretized formulations, in suitably weighted finite-dimensional inner product spaces, and derive efficient methods for finding optimal sensor paths. The resulting computational framework is flexible, scalable, and can be adapted to a broad range of linear inverse problems and design criteria. We also present extensive computational experiments, for a model inverse problem constrained by an advection-diffusion equation, to demonstrate the effectiveness of the proposed approach.

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arXiv2025

A brief note on submodular optimization

We consider some basic concepts concerning the optimization of monotone submodular functions, including a detailed discussion of submodularity. Illustrative examples are included to provide further insight. We then discuss the greedy method and a couple of its more efficient variants for approximately maximizing monotone submodular functions.

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arXiv2025

Preconditioned pseudo-time continuation for parameterized inverse problems

We consider parameterized variational inverse problems that are constrained by partial differential equations (PDEs). We seek to efficiently compute the solution of the inverse problem when auxiliary model parameters, which appear in the governing PDE, are varied. Computing the solution of the inverse problem for different auxiliary parameter values is crucial for uncertainty quantification. This, however, is computationally challenging since it requires solving many optimization problems for different realizations of the auxiliary parameters. We leverage pseudo-time continuation and solve an initial value problem to evolve the optimal solution along an auxiliary parameter path. This article introduces the use of an adaptive quasi-Newton Hessian preconditioner to accelerate the computation. Our proposed preconditioner exploits properties of the pseudo-time continuation process to achieve reliable and efficient computation. We elaborate our proposed framework and elucidate its properties for two nonlinear inverse problems.

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arXiv2025

On submodularity of the expected information gain

We consider finite-dimensional linear Gaussian Bayesian inverse problems with uncorrelated sensor measurements. In this setting, it is known that the expected information gain, quantified by the expected Kullback-Leibler divergence from the posterior measure to the prior measure, is submodular. We present a simple alternative proof of this fact tailored to a weighted inner product space setting arising from discretization of infinite-dimensional inverse problems constrained by partial differential equations (PDEs).

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arXiv2025

Bridging the Gap Between Deterministic and Probabilistic Approaches to State Estimation

We consider the problem of state estimation from limited discrete and noisy measurements. In particular, we focus on modal state estimation, which approximates the unknown state of the system within a prescribed basis. We estimate the coefficients of the modal expansion using available observational data. This is usually accomplished through two distinct frameworks. One is deterministic and estimates the expansion coefficients by solving a least-squares (LS) problem. The second is probabilistic and uses a Bayesian approach to derive a distribution for the coefficients, resulting in the maximum-a-posteriori (MAP) estimate. Here, we seek to quantify and compare the accuracy of these two approaches. To this end, we derive a computable expression for the difference in Bayes risk between the deterministic LS and the Bayesian MAP estimates. We prove that this difference is always nonnegative, indicating that the MAP estimate is always more reliable than the LS estimate. We further show that this difference comprises two nonnegative components representing measurement noise and prior uncertainty, and identify regimes where one component dominates the other in magnitude. We also derive a novel prior distribution from the sample covariance matrix of the training data, and examine the greedy Bayesian and column-pivoted QR (CPQR) sensor placement algorithms with this prior as an input. Using numerical examples, we show that the greedy Bayesian algorithm returns nearly optimal sensor locations. We show that, under certain conditions, the greedy Bayesian sensor locations are identical or nearly identical to those of CPQR when applied to a regularized modal basis.

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arXiv2025

A control-oriented approach to optimal sensor placement

We propose a control-oriented optimal experimental design (cOED) approach for linear PDE-constrained Bayesian inverse problems. In particular, we consider optimal control problems with uncertain parameters that need to be estimated by solving an inverse problem, which in turn requires measurement data. We consider the case where data is collected at a set of sensors. While classical Bayesian OED techniques provide experimental designs (sensor placements) that minimize the posterior uncertainty in the inversion parameter, these designs are not tailored to the demands of the optimal control problem. In the present control-oriented setting, we prioritize the designs that minimize the uncertainty in the state variable being controlled or the control objective. We propose a mathematical framework for uncertainty quantification and cOED for parameterized PDE-constrained optimal control problems with linear dependence to the control variable and the inversion parameter. We also present scalable computational methods for computing control-oriented sensor placements and for quantifying the uncertainty in the control objective. Additionally, we present illustrative numerical results in the context of a model problem motivated by heat transfer applications.

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arXiv2025

Optimal sensor placement under model uncertainty in the weak-constraint 4D-Var framework

In data assimilation, the model may be subject to uncertainties and errors. The weak-constraint data assimilation framework enables incorporating model uncertainty in the dynamics of the governing equations. We propose a new framework for near-optimal sensor placement in the weak-constrained setting. This is achieved by first deriving a design criterion based on the expected information gain, which involves the Kullback-Leibler divergence from the forecast prior to the posterior distribution. An explicit formula for this criterion is provided, assuming that the model error and background are independent and Gaussian and the dynamics are linear. We discuss algorithmic approaches to efficiently evaluate this criterion through randomized approximations. To provide further insight and flexibility in computations, we also provide alternative expressions for the criteria. We provide an algorithm to find near-optimal experimental designs using column subset selection, including a randomized algorithm that avoids computing the adjoint of the forward operator. Through numerical experiments in one and two spatial dimensions, we show the effectiveness of our proposed methods.

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arXiv2024

Goal oriented optimal design of infinite-dimensional Bayesian inverse problems using quadratic approximations

We consider goal-oriented optimal design of experiments for infinite-dimensional Bayesian linear inverse problems governed by partial differential equations (PDEs). Specifically, we seek sensor placements that minimize the posterior variance of a prediction or goal quantity of interest. The goal quantity is assumed to be a nonlinear functional of the inversion parameter. We propose a goal-oriented optimal experimental design (OED) approach that uses a quadratic approximation of the goal-functional to define a goal-oriented design criterion. The proposed criterion, which we call the Gq-optimality criterion, is obtained by integrating the posterior variance of the quadratic approximation over the set of likely data. Under the assumption of Gaussian prior and noise models, we derive a closed-form expression for this criterion. To guide development of discretization invariant computational methods, the derivations are performed in an infinite-dimensional Hilbert space setting. Subsequently, we propose efficient and accurate computational methods for computing the Gq-optimality criterion. A greedy approach is used to obtain Gq-optimal sensor placements. We illustrate the proposed approach for two model inverse problems governed by PDEs. Our numerical results demonstrate the effectiveness of the proposed strategy. In particular, the proposed approach outperforms non-goal-oriented (A-optimal) and linearization-based (c-optimal) approaches.

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arXiv2024

Robust optimal design of large-scale Bayesian nonlinear inverse problems

We consider robust optimal experimental design (ROED) for nonlinear Bayesian inverse problems governed by partial differential equations (PDEs). An optimal design is one that maximizes some utility quantifying the quality of the solution of an inverse problem. However, the optimal design is dependent on elements of the inverse problem such as the simulation model, the prior, or the measurement error model. ROED aims to produce an optimal design that is aware of the additional uncertainties encoded in the inverse problem and remains optimal even after variations in them. We follow a worst-case scenario approach to develop a new framework for robust optimal design of nonlinear Bayesian inverse problems. The proposed framework a) is scalable and designed for infinite-dimensional Bayesian nonlinear inverse problems constrained by PDEs; b) develops efficient approximations of the utility, namely, the expected information gain; c) employs eigenvalue sensitivity techniques to develop analytical forms and efficient evaluation methods of the gradient of the utility with respect to the uncertainties we wish to be robust against; and d) employs a probabilistic optimization paradigm that properly defines and efficiently solves the resulting combinatorial max-min optimization problem. The effectiveness of the proposed approach is illustrated for optimal sensor placement problem in an inverse problem governed by an elliptic PDE.

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arXiv2023

Variance-based sensitivity of Bayesian inverse problems to the prior distribution

The formulation of Bayesian inverse problems involves choosing prior distributions; choices that seem equally reasonable may lead to significantly different conclusions. We develop a computational approach to better understand the impact of the hyperparameters defining the prior on the posterior statistics of the quantities of interest. Our approach relies on global sensitivity analysis (GSA) of Bayesian inverse problems with respect to the hyperparameters defining the prior. This, however, is a challenging problem--a naive double loop sampling approach would require running a prohibitive number of Markov chain Monte Carlo (MCMC) sampling procedures. The present work takes a foundational step in making such a sensitivity analysis practical through (i) a judicious combination of efficient surrogate models and (ii) a tailored importance sampling method. In particular, we can perform accurate GSA of posterior prediction statistics with respect to prior hyperparameters without having to repeat MCMC runs. We demonstrate the effectiveness of the approach on a simple Bayesian linear inverse problem and a nonlinear inverse problem governed by an epidemiological model.

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arXiv2023

Sensitivity Analysis of the Information Gain in Infinite-Dimensional Bayesian Linear Inverse Problems

We study the sensitivity of infinite-dimensional Bayesian linear inverse problems governed by partial differential equations (PDEs) with respect to modeling uncertainties. In particular, we consider derivative-based sensitivity analysis of the information gain, as measured by the Kullback-Leibler divergence from the posterior to the prior distribution. To facilitate this, we develop a fast and accurate method for computing derivatives of the information gain with respect to auxiliary model parameters. Our approach combines low-rank approximations, adjoint-based eigenvalue sensitivity analysis, and post-optimal sensitivity analysis. The proposed approach also paves way for global sensitivity analysis by computing derivative-based global sensitivity measures. We illustrate different aspects of the proposed approach using an inverse problem governed by a scalar linear elliptic PDE, and an inverse problem governed by the three-dimensional equations of linear elasticity, which is motivated by the inversion of the fault-slip field after an earthquake.

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arXiv2023

On Bayes risk of the posterior mean in linear inverse problems

We consider the concept of Bayes risk in the context of finite-dimensional ill-posed linear inverse problem with Gaussian prior and noise models. In this note, we rederive the following well-known result: in the present Gaussian linear setting, the Bayes risk of the posterior mean, relative to the sum of squares loss function, equals the trace of the posterior covariance operator. While our discussion is limited to a finite-dimensional setup, our presentation is motivated by more general infinite-dimensional formulations.

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