Scalable method for Bayesian experimental design without integrating over posterior distribution

We address the computational efficiency in solving the A-optimal Bayesian design of experiments problems for which the observational model is based on partial differential equations and, consequently, is computationally expensive to evaluate. A-optimality is a widely used and easy-to-interpret criterion for the Bayesian design of experiments. The criterion seeks the optimal experiment design by minimizing the expected conditional variance, also known as the expected posterior variance. This work presents a novel likelihood-free method for seeking the A-optimal design of experiments without sampling or integrating the Bayesian posterior distribution. In our approach, the expected conditional variance is obtained via the variance of the conditional expectation using the law of total variance, while we take advantage of the orthogonal projection property to approximate the conditional expectation. Through an asymptotic error estimation, we show that the intractability of the posterior does not affect the performance of our approach. We use an artificial neural network (ANN) to approximate the nonlinear conditional expectation to implement our method. For dealing with continuous experimental design parameters, we integrate the training process of the ANN into minimizing the expected conditional variance. Specifically, we propose a non-local approximation of the conditional expectation and apply transfer learning to reduce the number of evaluations of the observation model. Through numerical experiments, we demonstrate that our method significantly reduces the number of observational model evaluations compared with common importance sampling-based approaches. This reduction is crucial, considering the computationally expensive nature of these models.