Dynamic inverse problems: Single-loop online algorithms
We study efficient online methods for dynamic inverse problems with infinite time horizon. We concentrate, in particular, on problems whose forward model arises from a PDE. Our motivating application is flow monitoring with Electrical Impedance Tomography (EIT). The idea of such online methods is to take single steps of of standard optimisation algorithms, on each time index; each data frame. A predictor, based on problem dynamics, is used to transfer iterates one from time index to the next one. If we monitor a fast flow with a correspondingly fast measurement modality, such as EIT, basic methods are unable to solve the PDE before new data arrives. Our idea, then, is to not solve it, and instead, on each iteration, each time index, take single or few steps of standard iterative solvers towards the solution of both the PDE and an adjoint PDE. This is what ``single loop'' refers to. To the overall problem, we apply standard online optimisation methods, at the outside developed for exact gradients $\nabla E_k(x^k)$ of the iteration-dependent data fidelity $E_k$ that incorporates the PDE. We replace the gradient by a single-loop estimate $\tilde\grad E_k(x^k)$ that satisfies standard smoothness properties with summable errors. This allows standard regret proofs to go through. Our numerical experiments on dynamic EIT validate the theoretical predictions and highlight the potential of the proposed approach for the real-time solution of PDE-constrained dynamic inverse problems.