Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
From MaRDI portal
Publication:2072641
Abstract: Ensemble Kalman Inversion (EnKI) and Ensemble Square Root Filter (EnSRF) are popular sampling methods for obtaining a target posterior distribution. They can be seem as one step (the analysis step) in the data assimilation method Ensemble Kalman Filter. Despite their popularity, they are, however, not unbiased when the forward map is nonlinear. Important Sampling (IS), on the other hand, obtains the unbiased sampling at the expense of large variance of weights, leading to slow convergence of high moments. We propose WEnKI and WEnSRF, the weighted versions of EnKI and EnSRF in this paper. It follows the same gradient flow as that of EnKI/EnSRF with weight corrections. Compared to the classical methods, the new methods are unbiased, and compared with IS, the method has bounded weight variance. Both properties will be proved rigorously in this paper. We further discuss the stability of the underlying Fokker-Planck equation. This partially explains why EnKI, despite being inconsistent, performs well occasionally in nonlinear settings. Numerical evidence will be demonstrated at the end.
Recommendations
- Convergence acceleration of ensemble Kalman inversion in nonlinear settings
- Ensemble Kalman inversion: mean-field limit and convergence analysis
- Ensemble Kalman methods for inverse problems
- Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
- Recent trends on nonlinear filtering for inverse problems
Cites work
- A dynamical systems framework for intermittent data assimilation
- A stochastic Newton MCMC method for large-scale statistical inverse problems with application to seismic inversion
- A strongly convergent numerical scheme from ensemble Kalman inversion
- A well-posedness theory in measures for some kinetic models of collective motion
- Affine invariant interacting Langevin dynamics for Bayesian inference
- An introduction to MCMC for machine learning
- Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
- Analysis of the ensemble Kalman filter for inverse problems
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Continuous limits for constrained ensemble Kalman filter
- Deterministic mean-field ensemble Kalman filtering
- Ensemble Kalman inversion: mean-field limit and convergence analysis
- Ensemble Kalman methods for inverse problems
- Fokker-Planck particle systems for Bayesian inference: computational approaches
- scientific article; zbMATH DE number 1666084 (Why is no real title available?)
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- Macroscopic and large scale phenomena: coarse graining, mean field limits and ergodicity. Based on the presentations at the summer school, Enschede, the Netherlands, 2012
- On the continuous time limit of the ensemble Kalman filter
- On the rate of convergence in Wasserstein distance of the empirical measure
- Parameterizations for ensemble Kalman inversion
- Sequential Monte Carlo Methods in Practice
- Stochastic spectral methods for efficient Bayesian solution of inverse problems
- Tikhonov regularization within ensemble Kalman inversion
- Unbiased ensemble square root filters
- Well posedness and convergence analysis of the ensemble Kalman inversion
Cited in
(15)- Resampled ensemble Kalman inversion for Bayesian parameter estimation with sequential data
- Recent trends on nonlinear filtering for inverse problems
- Iterated Kalman methodology for inverse problems
- On convergence rates of adaptive ensemble Kalman inversion for linear ill-posed problems
- An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
- Parameterizations for ensemble Kalman inversion
- Convergence analysis of ensemble Kalman inversion: the linear, noisy case
- A stabilization of a continuous limit of the ensemble Kalman inversion
- Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
- Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis
- Component-wise iterative ensemble Kalman inversion for static Bayesian models with unknown measurement error covariance
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- The mean-field ensemble Kalman filter: near-Gaussian setting
- Sequential Kalman tuning of the t-preconditioned Crank-Nicolson algorithm: efficient, adaptive and gradient-free inference for Bayesian inverse problems
- Ensemble Kalman methods: a mean-field perspective
This page was built for publication: Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2072641)
