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Abstract Many inverse problems are naturally formulated as a PDE-constrained optimization problem. These non-linear, large-scale, constrained optimization problems know many challenges, of which the inherent non-linearity of the problem is an important one. In this paper, we focus on a relaxed formulation of the PDE-constrained optimization problem and provide analysis for its properties including convexity under certain assumptions. Starting from an infinite-dimensional formulation of the inverse problem with discrete data, we propose a general framework for the analysis and discretisation of such problems. The relaxed formulation of the PDE-constrained optimization problem is shown to reduce to a weighted non-linear least-squares problem. The weight matrix turns out to be the Gram matrix of solutions of the PDE, and in some cases be estimated directly from the measurements. The latter observation points to a potential way to unify recently proposed data-driven reduced-order models for inverse problems with PDE-constrained optimization. We provide a number of representative case studies and numerical examples to illustrate our findings. 

In order to compare and interpolate signals, we investigate a Riemannian geometry on the space of signals. The metric allows discontinuous signals and measures both horizontal (thus providing many benefits of the Wasserstein metric) and vertical deformations. Moreover, it allows for signed signals, which overcomes the main deficiency of optimal transportation-based metrics in signal processing. We characterize the metric properties of the space of signals and establish the regularity and stability of geodesics. Furthermore, we introduce an efficient numerical scheme to compute the geodesics and present several experiments which highlight the nature of the metric. 

Motivated by the computational difficulties incurred by popular deep learning algorithms for the generative modeling of temporal densities, we propose a cheap alternative that requires minimal hyperparameter tuning and scales favorably to high-dimensional problems. In particular, we use a projection-based optimal transport solver [Meng et al.,Advances in Neural Information Processing Systems (Curran Associates, 2019), Vol. 32] to join successive samples and, subsequently, use transport splines (Chewi et al., 2020) to interpolate the evolving density. When the sampling frequency is sufficiently high, the optimal maps are close to the identity and are, thus, computationally efficient to compute. Moreover, the training process is highly parallelizable as all optimal maps are independent and can, thus, be learned simultaneously. Finally, the approach is based solely on numerical linear algebra rather than minimizing a nonconvex objective function, allowing us to easily analyze and control the algorithm. We present several numerical experiments on both synthetic and real-world datasets to demonstrate the efficiency of our method. In particular, these experiments show that the proposed approach is highly competitive compared with state-of-the-art normalizing flows conditioned on time across a wide range of dimensionalities. 

We extend the methodology in Yang et al. [SIAM J. Appl. Dyn. Syst. 22, 269–310 (2023)] to learn autonomous continuous-time dynamical systems from invariant measures. The highlight of our approach is to reformulate the inverse problem of learning ODEs or SDEs from data as a PDE-constrained optimization problem. This shift in perspective allows us to learn from slowly sampled inference trajectories and perform uncertainty quantification for the forecasted dynamics. Our approach also yields a forward model with better stability than direct trajectory simulation in certain situations. We present numerical results for the Van der Pol oscillator and the Lorenz-63 system, together with real-world applications to Hall-effect thruster dynamics and temperature prediction, to demonstrate the effectiveness of the proposed approach.