Sparse Inversion with Iteratively Re-Weighted Least-Squares#

Least-squares inversion produces smooth models which may not be an accurate representation of the true model. Here we demonstrate the basics of inverting for sparse and/or blocky models. Here, we used the iteratively reweighted least-squares approach. For this tutorial, we focus on the following:

Defining the forward problem

Defining the inverse problem (data misfit, regularization, optimization)

Defining the paramters for the IRLS algorithm

Specifying directives for the inversion

Recovering a set of model parameters which explains the observations

import numpy as np
import matplotlib.pyplot as plt

from discretize import TensorMesh

from simpeg import (
    simulation,
    maps,
    data_misfit,
    directives,
    optimization,
    regularization,
    inverse_problem,
    inversion,
)

# sphinx_gallery_thumbnail_number = 3

Defining the Model and Mapping#

Here we generate a synthetic model and a mappig which goes from the model space to the row space of our linear operator.

nParam = 100  # Number of model paramters

# A 1D mesh is used to define the row-space of the linear operator.
mesh = TensorMesh([nParam])

# Creating the true model
true_model = np.zeros(mesh.nC)
true_model[mesh.cell_centers_x > 0.3] = 1.0
true_model[mesh.cell_centers_x > 0.45] = -0.5
true_model[mesh.cell_centers_x > 0.6] = 0

# Mapping from the model space to the row space of the linear operator
model_map = maps.IdentityMap(mesh)

# Plotting the true model
fig = plt.figure(figsize=(8, 5))
ax = fig.add_subplot(111)
ax.plot(mesh.cell_centers_x, true_model, "b-")
ax.set_ylim([-2, 2])

(-2.0, 2.0)

Defining the Linear Operator#

Here we define the linear operator with dimensions (nData, nParam). In practive, you may have a problem-specific linear operator which you would like to construct or load here.

# Number of data observations (rows)
nData = 20

# Create the linear operator for the tutorial. The columns of the linear operator
# represents a set of decaying and oscillating functions.
jk = np.linspace(1.0, 60.0, nData)
p = -0.25
q = 0.25


def g(k):
    return np.exp(p * jk[k] * mesh.cell_centers_x) * np.cos(
        np.pi * q * jk[k] * mesh.cell_centers_x
    )


G = np.empty((nData, nParam))

for i in range(nData):
    G[i, :] = g(i)

# Plot the columns of G
fig = plt.figure(figsize=(8, 5))
ax = fig.add_subplot(111)
for i in range(G.shape[0]):
    ax.plot(G[i, :])

ax.set_title("Columns of matrix G")

Text(0.5, 1.0, 'Columns of matrix G')

Defining the Simulation#

The simulation defines the relationship between the model parameters and predicted data.

sim = simulation.LinearSimulation(mesh, G=G, model_map=model_map)

Predict Synthetic Data#

Here, we use the true model to create synthetic data which we will subsequently invert.

# Standard deviation of Gaussian noise being added
std = 0.02
np.random.seed(1)

# Create a SimPEG data object
data_obj = sim.make_synthetic_data(true_model, noise_floor=std, add_noise=True)

Define the Inverse Problem#

The inverse problem is defined by 3 things:

Data Misfit: a measure of how well our recovered model explains the field data

Regularization: constraints placed on the recovered model and a priori information

Optimization: the numerical approach used to solve the inverse problem

# Define the data misfit. Here the data misfit is the L2 norm of the weighted
# residual between the observed data and the data predicted for a given model.
# Within the data misfit, the residual between predicted and observed data are
# normalized by the data's standard deviation.
dmis = data_misfit.L2DataMisfit(simulation=sim, data=data_obj)

# Define the regularization (model objective function). Here, 'p' defines the
# the norm of the smallness term and 'q' defines the norm of the smoothness
# term.
reg = regularization.Sparse(mesh, mapping=model_map)
reg.reference_model = np.zeros(nParam)
p = 0.0
q = 0.0
reg.norms = [p, q]

# Define how the optimization problem is solved.
opt = optimization.ProjectedGNCG(
    maxIter=100, lower=-2.0, upper=2.0, maxIterLS=20, maxIterCG=30, tolCG=1e-4
)

# Here we define the inverse problem that is to be solved
inv_prob = inverse_problem.BaseInvProblem(dmis, reg, opt)

Define Inversion Directives#

Here we define any directiveas that are carried out during the inversion. This includes the cooling schedule for the trade-off parameter (beta), stopping criteria for the inversion and saving inversion results at each iteration.

# Add sensitivity weights but don't update at each beta
sensitivity_weights = directives.UpdateSensitivityWeights(every_iteration=False)

# Reach target misfit for L2 solution, then use IRLS until model stops changing.
IRLS = directives.Update_IRLS(max_irls_iterations=40, minGNiter=1, f_min_change=1e-4)

# Defining a starting value for the trade-off parameter (beta) between the data
# misfit and the regularization.
starting_beta = directives.BetaEstimate_ByEig(beta0_ratio=1e0)

# Update the preconditionner
update_Jacobi = directives.UpdatePreconditioner()

# Save output at each iteration
saveDict = directives.SaveOutputEveryIteration(save_txt=False)

# Define the directives as a list
directives_list = [sensitivity_weights, IRLS, starting_beta, update_Jacobi, saveDict]

Setting a Starting Model and Running the Inversion#

To define the inversion object, we need to define the inversion problem and the set of directives. We can then run the inversion.

# Here we combine the inverse problem and the set of directives
inv = inversion.BaseInversion(inv_prob, directives_list)

# Starting model
starting_model = 1e-4 * np.ones(nParam)

# Run inversion
recovered_model = inv.run(starting_model)

Running inversion with SimPEG v0.22.2

                    simpeg.InvProblem is setting bfgsH0 to the inverse of the eval2Deriv.
                    ***Done using the default solver Pardiso and no solver_opts.***

model has any nan: 0
=============================== Projected GNCG ===============================
  #     beta     phi_d     phi_m       f      |proj(x-g)-x|  LS    Comment
-----------------------------------------------------------------------------
x0 has any nan: 0
1.74e+06  3.70e+03  1.02e-09  3.70e+03    2.00e+01      0
8.71e+05  1.87e+03  3.75e-04  2.20e+03    1.92e+01      0
4.35e+05  1.28e+03  8.68e-04  1.65e+03    1.89e+01      0   Skip BFGS
2.18e+05  7.42e+02  1.74e-03  1.12e+03    1.81e+01      0   Skip BFGS
1.09e+05  3.67e+02  2.95e-03  6.88e+02    1.60e+01      0   Skip BFGS
5.44e+04  1.59e+02  4.27e-03  3.92e+02    1.39e+01      0   Skip BFGS
2.72e+04  6.59e+01  5.44e-03  2.14e+02    1.25e+01      0   Skip BFGS
1.36e+04  3.03e+01  6.33e-03  1.17e+02    1.01e+01      0   Skip BFGS
Reached starting chifact with l2-norm regularization: Start IRLS steps...
irls_threshold 1.198220245303932
6.80e+03  1.78e+01  9.43e-03  8.20e+01    4.24e+00      0   Skip BFGS
1.09e+04  1.68e+01  1.06e-02  1.32e+02    1.71e+01      0
8.44e+03  2.49e+01  1.07e-02  1.15e+02    3.03e+00      0
6.46e+03  2.56e+01  1.14e-02  9.91e+01    3.71e+00      0   Skip BFGS
5.00e+03  2.51e+01  1.18e-02  8.41e+01    5.27e+00      0   Skip BFGS
3.97e+03  2.38e+01  1.18e-02  7.08e+01    5.89e+00      0   Skip BFGS
3.97e+03  2.20e+01  1.14e-02  6.72e+01    5.25e+00      0
3.97e+03  2.17e+01  1.05e-02  6.34e+01    5.85e+00      0
3.97e+03  2.13e+01  9.50e-03  5.91e+01    6.14e+00      0
3.97e+03  2.07e+01  8.43e-03  5.42e+01    6.26e+00      0
3.97e+03  1.98e+01  7.49e-03  4.96e+01    6.83e+00      0
3.97e+03  1.90e+01  6.50e-03  4.48e+01    6.92e+00      0
3.97e+03  1.81e+01  5.70e-03  4.07e+01    8.07e+00      0
6.30e+03  1.71e+01  4.81e-03  4.74e+01    1.42e+01      0
9.90e+03  1.75e+01  3.76e-03  5.48e+01    1.48e+01      0
9.90e+03  1.83e+01  2.92e-03  4.72e+01    7.86e+00      0
1.55e+04  1.78e+01  2.42e-03  5.52e+01    1.66e+01      0
1.55e+04  1.88e+01  1.92e-03  4.84e+01    1.05e+01      0
1.55e+04  1.85e+01  1.63e-03  4.37e+01    1.15e+01      0   Skip BFGS
1.55e+04  1.81e+01  1.40e-03  3.97e+01    1.15e+01      0   Skip BFGS
2.43e+04  1.76e+01  1.21e-03  4.70e+01    1.66e+01      0   Skip BFGS
2.43e+04  1.84e+01  9.67e-04  4.19e+01    1.06e+01      0
2.43e+04  1.81e+01  8.26e-04  3.82e+01    1.12e+01      0
3.79e+04  1.78e+01  7.15e-04  4.49e+01    1.62e+01      0
3.79e+04  1.85e+01  5.75e-04  4.03e+01    1.06e+01      0
3.79e+04  1.83e+01  4.95e-04  3.71e+01    1.12e+01      0
5.90e+04  1.80e+01  4.33e-04  4.35e+01    1.65e+01      0
5.90e+04  1.87e+01  3.52e-04  3.95e+01    1.07e+01      0
5.90e+04  1.83e+01  2.97e-04  3.59e+01    1.15e+01      0
9.23e+04  1.77e+01  2.55e-04  4.13e+01    1.65e+01      0
9.23e+04  1.81e+01  2.08e-04  3.73e+01    1.12e+01      0
1.45e+05  1.76e+01  1.79e-04  4.35e+01    1.69e+01      0
1.45e+05  1.81e+01  1.45e-04  3.90e+01    1.10e+01      0
2.27e+05  1.76e+01  1.23e-04  4.55e+01    1.69e+01      0
2.27e+05  1.82e+01  9.91e-05  4.06e+01    1.07e+01      0
3.54e+05  1.78e+01  8.39e-05  4.75e+01    1.67e+01      0
3.54e+05  1.84e+01  6.77e-05  4.23e+01    1.08e+01      0
3.54e+05  1.80e+01  5.73e-05  3.83e+01    1.13e+01      0
5.56e+05  1.75e+01  4.90e-05  4.47e+01    1.66e+01      0
5.56e+05  1.81e+01  3.96e-05  4.01e+01    1.07e+01      0
Reach maximum number of IRLS cycles: 40
------------------------- STOP! -------------------------
: |fc-fOld| = 0.0000e+00 <= tolF*(1+|f0|) = 3.7012e+02
: |xc-x_last| = 4.4854e-02 <= tolX*(1+|x0|) = 1.0010e-01
: |proj(x-g)-x|    = 1.0699e+01 <= tolG          = 1.0000e-01
: |proj(x-g)-x|    = 1.0699e+01 <= 1e3*eps       = 1.0000e-02
: maxIter   =     100    <= iter          =     48
------------------------- DONE! -------------------------

Plotting Results#

fig, ax = plt.subplots(1, 2, figsize=(12 * 1.2, 4 * 1.2))

# True versus recovered model
ax[0].plot(mesh.cell_centers_x, true_model, "k-")
ax[0].plot(mesh.cell_centers_x, inv_prob.l2model, "b-")
ax[0].plot(mesh.cell_centers_x, recovered_model, "r-")
ax[0].legend(("True Model", "Recovered L2 Model", "Recovered Sparse Model"))
ax[0].set_ylim([-2, 2])

# Observed versus predicted data
ax[1].plot(data_obj.dobs, "k-")
ax[1].plot(inv_prob.dpred, "ko")
ax[1].legend(("Observed Data", "Predicted Data"))

# Plot convergence
fig = plt.figure(figsize=(9, 5))
ax = fig.add_axes([0.2, 0.1, 0.7, 0.85])
ax.plot(saveDict.phi_d, "k", lw=2)

twin = ax.twinx()
twin.plot(saveDict.phi_m, "k--", lw=2)
ax.plot(np.r_[IRLS.iterStart, IRLS.iterStart], np.r_[0, np.max(saveDict.phi_d)], "k:")
ax.text(
    IRLS.iterStart,
    0.0,
    "IRLS Start",
    va="bottom",
    ha="center",
    rotation="vertical",
    size=12,
    bbox={"facecolor": "white"},
)

ax.set_ylabel(r"$\phi_d$", size=16, rotation=0)
ax.set_xlabel("Iterations", size=14)
twin.set_ylabel(r"$\phi_m$", size=16, rotation=0)

Text(865.1527777777777, 0.5, '$\\phi_m$')

Total running time of the script: (0 minutes 28.062 seconds)

Estimated memory usage: 163 MB

Download Jupyter notebook: plot_inv_2_inversion_irls.ipynb

Download Python source code: plot_inv_2_inversion_irls.py

Download zipped: plot_inv_2_inversion_irls.zip

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