Gaussian process regression and conditional Karhunen-Loève models for data assimilation in inverse problems

We present a model inversion algorithm, CKLEMAP, for data assimilation and parameter estimation in partial differential equation models of physical systems with spatially heterogeneous parameter fields. These fields are approximated using low-dimensional conditional Karhunen-Loève expansions (CKLEs), which are constructed using Gaussian process regression (GPR) models of these fields trained on the parameters' measurements. We then assimilate measurements of the state of the system and compute the maximum a posteriori (MAP) estimate of the CKLE coefficients by solving a nonlinear least-squares problem. When solving this optimization problem, we efficiently compute the Jacobian of the vector objective by exploiting the sparsity structure of the linear system of equations associated with the forward solution of the physics problem.