Iterative ensemble Kalman methods: a unified perspective with some new variants
From MaRDI portal
Publication:2072640
Abstract: This paper provides a unified perspective of iterative ensemble Kalman methods, a family of derivative-free algorithms for parameter reconstruction and other related tasks. We identify, compare and develop three subfamilies of ensemble methods that differ in the objective they seek to minimize and the derivative-based optimization scheme they approximate through the ensemble. Our work emphasizes two principles for the derivation and analysis of iterative ensemble Kalman methods: statistical linearization and continuum limits. Following these guiding principles, we introduce new iterative ensemble Kalman methods that show promising numerical performance in Bayesian inverse problems, data assimilation and machine learning tasks.
Recommendations
- Adaptive Ensemble Kalman Inversion with Statistical Linearization
- Ensemble Kalman methods for inverse problems
- Convergence acceleration of ensemble Kalman inversion in nonlinear settings
- Well posedness and convergence analysis of the ensemble Kalman inversion
- Analysis of iterative ensemble smoothers for solving inverse problems
Cites work
- l_p regularization for ensemble Kalman inversion
- A differential equation for modeling Nesterov's accelerated gradient method: theory and insights
- A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems
- A regularizing Levenberg - Marquardt scheme, with applications to inverse groundwater filtration problems
- A strongly convergent numerical scheme from ensemble Kalman inversion
- A variational perspective on accelerated methods in optimization
- Adaptive regularisation for ensemble Kalman inversion
- Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
- Analysis of the ensemble Kalman filter for inverse problems
- Convergence analysis of ensemble Kalman inversion: the linear, noisy case
- Ensemble filter techniques for intermittent data assimilation - a survey
- Ensemble Kalman inversion: a derivative-free technique for machine learning tasks
- Ensemble Kalman methods for inverse problems
- Ensemble Kalman methods with constraints
- Ensemble Kalman sampler: mean-field limit and convergence analysis
- Filter based methods for statistical linear inverse problems
- Filtering complex turbulent systems.
- scientific article; zbMATH DE number 5822909 (Why is no real title available?)
- scientific article; zbMATH DE number 3790208 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 852532 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Incremental Least Squares Methods and the Extended Kalman Filter
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Inverse Problem Theory and Methods for Model Parameter Estimation
- Iterative regularization methods for nonlinear ill-posed problems
- Kinetic methods for inverse problems
- Multi-parameter regularization and its numerical realization
- On the convergence of a non-linear ensemble Kalman smoother
- Parameterizations for ensemble Kalman inversion
- The ensemble Kalman filter for combined state and parameter estimation
- The iterated Kalman filter update as a Gauss-Newton method
- The Iterated Kalman Smoother as a Gauss–Newton Method
- Tikhonov regularization within ensemble Kalman inversion
- Well posedness and convergence analysis of the ensemble Kalman inversion
- Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
Cited in
(28)- Comment on ``Ensemble Kalman filter with the unscented transform
- Reply to: ``Comment on: `ensemble Kalman filter with the unscented transform
- Flexible iterative ensemble smoother for calibration of perfect and imperfect models
- Iterated Kalman methodology for inverse problems
- Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion
- Autodifferentiable ensemble Kalman filters
- A Variational Inference Approach to Inverse Problems with Gamma Hyperpriors
- Reduced-order autodifferentiable ensemble Kalman filters
- Adaptive Ensemble Kalman Inversion with Statistical Linearization
- Analysis of a Computational Framework for Bayesian Inverse Problems: Ensemble Kalman Updates and MAP Estimators under Mesh Refinement
- On a Dynamic Variant of the Iteratively Regularized Gauss–Newton Method with Sequential Data
- Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling
- Hierarchical ensemble Kalman methods with sparsity-promoting generalized gamma hyperpriors
- EnKSGD: a class of preconditioned black box optimization and inversion algorithms
- Ensemble Kalman inversion based on level set method for inverse elastic scattering problem
- A stochastic iteratively regularized Gauss-Newton method
- Simultaneous identification of fractional order and time-dependent source term of a time-fractional Black-Scholes equation
- Bayesian experimental design for model discrepancy calibration: an auto-differentiable ensemble Kalman inversion approach
- The fundamental subspaces of ensemble Kalman inversion
- Accuracy improvement in ensemble Kalman inversion through data-informed ensemble selection
- Kernel sum of squares for data adapted kernel learning of dynamical systems from data: a global optimization approach
- Bayesian approach for identifying fractional order and time-dependent source in a fractional pseudo-parabolic equation
- Recovering a space-dependent source term for distributed order time-space fractional diffusion equation
- Ensemble Kalman methods: a mean-field perspective
- The ensemble Kalman filter for dynamic inverse problems
- A localized consensus-based sampling algorithm
- Sharp concentration of simple random tensors. II: Asymmetry
- An iterative ensemble Kalman filter for reservoir engineering applications
This page was built for publication: Iterative ensemble Kalman methods: a unified perspective with some new variants
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2072640)
