Batch-based Bayesian optimal experimental design in linear inverse problems

Abstract Experimental design is central to science and engineering. A ubiquitous challenge is how to maximize the value of information obtained from expensive or constrained experimental settings. Bayesian optimal experimental design (OED) provides a principled framework for addressing such questions. In this paper, we study experimental design problems such as the optimization of sensor locations over a continuous domain in the context of linear Bayesian inverse problems. We focus in particular on batch design, that is, the simultaneous optimization of multiple design variables, which leads to a notoriously difficult non-convex optimization problem. We tackle this challenge using a promising strategy recently proposed in the frequentist setting, which relaxes A-optimal design to the space of finite positive measures. Our main contribution is the rigorous identification of the Bayesian inference problem corresponding to this relaxed A-optimal OED formulation. Moreover, building on recent work, we develop a Wasserstein gradient-flow–based optimization algorithm for the expected utility and introduce novel regularization schemes that empirically accelerate convergence to a discrete measure. These theoretical results are supported by numerical experiments demonstrating both convergence and the effectiveness of the proposed regularization strategy.