A Computationally Efficient Parallel Levenberg-Marquardt Algorithm for Large-Scale Big-Data Inversion

Abstract:

Inverse modeling seeks model parameters given a set of observed state variables. However, for many practical problems due to the facts that the observed data sets are often large and model parameters are often numerous, conventional methods for solving the inverse modeling can be computationally expensive. We have developed a new, computationally-efficient Levenberg-Marquardt method for solving large-scale inverse modeling. Levenberg-Marquardt methods require the solution of a dense linear system of equations which can be prohibitively expensive to compute for large-scale inverse problems. Our novel method projects the original large-scale linear problem down to a Krylov subspace, such that the dimensionality of the measurements can be significantly reduced. Furthermore, instead of solving the linear system for every Levenberg-Marquardt damping parameter, we store the Krylov subspace computed when solving the first damping parameter and recycle it for all the following damping parameters. The efficiency of our new inverse modeling algorithm is significantly improved by using these computational techniques. We apply this new inverse modeling method to invert for a random transitivity field. Our algorithm is fast enough to solve for the distributed model parameters (transitivity) at each computational node in the model domain. The inversion is also aided by the use regularization techniques. The algorithm is coded in Julia and implemented in the MADS computational framework (http://mads.lanl.gov). Julia is an advanced high-level scientific programing language that allows for efficient memory management and utilization of high-performance computational resources. By comparing with a Levenberg-Marquardt method using standard linear inversion techniques, our Levenberg-Marquardt method yields speed-up ratio of 15 in a multi-core computational environment and a speed-up ratio of 45 in a single-core computational environment. Therefore, our new inverse modeling method is a powerful tool for large-scale applications.