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Summary Uncertainty quantification for linear inverse problems remains a challenging task, especially for problems with a very large number of unknown parameters (e.g., dynamic inverse problems) and for problems where computation of the square root and inverse of the prior covariance matrix are not feasible. This work exploits Krylov subspace methods to develop and analyze new techniques for large‐scale uncertainty quantification in inverse problems. In this work, we assume that generalized Golub‐Kahan‐based methods have been used to compute an estimate of the solution, and we describe efficient methods to explore the posterior distribution. In particular, we use the generalized Golub‐Kahan bidiagonalization to derive an approximation of the posterior covariance matrix, and we provide theoretical results that quantify the accuracy of the approximate posterior covariance matrix and of the resulting posterior distribution. Then, we describe efficient methods that use the approximation to compute measures of uncertainty, including the Kullback‐Liebler divergence. We present two methods that use the preconditioned Lanczos algorithm to efficiently generate samples from the posterior distribution. Numerical examples from dynamic photoacoustic tomography demonstrate the effectiveness of the described approaches. 

In this paper, we consider iterative methods based on sampling for computing solutions to separable nonlinear inverse problems where the entire dataset cannot be accessed or is not available all-at-once. In such scenarios (e.g., when massive amounts of data exceed memory capabilities or when data is being streamed), solving inverse problems, especially nonlinear ones, can be very challenging. We focus on separable nonlinear problems, where the objective function is nonlinear in one (typically small) set of parameters and linear in another (larger) set of parameters. For the linear problem, we describe a limited-memory sampled Tikhonov method, and for the nonlinear problem, we describe an approach to integrate the limited-memory sampled Tikhonov method within a nonlinear optimization framework. The proposed method is computationally efficient in that it only uses available data at any iteration to update both sets of parameters. Numerical experiments applied to massive super-resolution image reconstruction problems show the power of these methods.