Accurate Computation of Conditional Expectation for Highly Nonlinear Problems
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Abstract: This paper focuses on inverse problems to identify parameters by incorporating information from measurements. These generally ill-posed problems are formulated here in a probabilistic setting based on Bayes's theorem because it leads to a unique solution of the updated distribution of parameters. Many approaches build on Bayesian updating in terms of probability measures or their densities. However, the uncertainty propagation problems and their discretisation within the stochastic Galerkin or collocation method are naturally formulated for random vectors which calls for updating of random variables, i.e. a filter. Such filters typically build on some approximation to conditional expectation (CE). Specifically, the approximation of the CE with affine functions leads to the familiar Kalman filter which works best on linear or close to linear problems only. Our approach builds on a reformulation, which allows to localise the operator of the CE to the point of measured value. The resulting conditioned expectation (CdE) predicts correctly the quantities of interest, e.g. conditioned mean and covariance, even for general highly non-linear problems. The novel CdE allows straight-forward numerical integration; particularly, the approximated covariance matrix is always positive definite for integration rules with positive weights. The theoretical results are confirmed by numerical examples.
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Cited in
(7)- The linear conditional expectation in Hilbert space
- scientific article; zbMATH DE number 50805 (Why is no real title available?)
- Collocation methods and beyond in non-linear mechanics
- Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
- Computation of conditional expectations with guarantees
- Conditional expectation using compactification operators
- Mechanical state estimation with a polynomial-chaos-based statistical finite element method
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