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Title: On unifying randomized methods for inverse problems
Abstract This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems with Gaussian priors by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a sample average approximation (SAA). More importantly, we are able to prove a single theoretical result that guarantees the asymptotic convergence for a variety of randomized methods. Additionally, viewing randomized methods as an SAA enables us to prove, for the first time, a single non-asymptotic error result that holds for randomized methods under consideration. Another important consequence of our unified framework is that it allows us to discover new randomization methods. We present various numerical results for linear, nonlinear, algebraic, and PDE-constrained inverse problems that verify the theoretical convergence results and provide a discussion on the apparently different convergence rates and the behavior for various randomized methods.  more » « less
Award ID(s):
1808576 1845799 2108320 2212442
PAR ID:
10482675
Author(s) / Creator(s):
; ; ;
Publisher / Repository:
IOPScience: IOP Publishing Ltd
Date Published:
Journal Name:
Inverse Problems
Volume:
39
Issue:
7
ISSN:
0266-5611
Page Range / eLocation ID:
075010
Subject(s) / Keyword(s):
randomization, Bayesian inversion, ensemble Kalman filter, randomized maximum a posteriori
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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