Levenberg-Marquardt methods based on probabilistic gradient models and inexact subproblem solution, with application to data assimilation

DOI10.1137/140974687zbMATH Open1358.90156DBLPjournals/juq/BergouGV16OpenAlexW2189373477WikidataQ58040481 ScholiaQ58040481MaRDI QIDQ3179313FDOQ3179313

Authors: Serge Gratton, El Houcine Bergou, L. N. Vicente 

Publication date: 21 December 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: http://oatao.univ-toulouse.fr/22604/1/bergou_22604.pdf

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zbMATH Keywords

regularizationrandom modelsLevenberg-Marquardt methodnonlinear least squaresvariational data assimilationinexactnessensemble Kalman filter/smootherKalman filter/smoother

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Least squares and related methods for stochastic control systems (93E24) Derivative-free methods and methods using generalized derivatives (90C56)

Cites Work

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• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• A method for the solution of certain non-linear problems in least squares
• Probability. Theory and examples.
• Nonlinear least squares — the Levenberg algorithm revisited
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• Trust Region Methods
• Data Assimilation
• Introduction to Derivative-Free Optimization
• Convergence of Trust-Region Methods Based on Probabilistic Models
• Title not available (Why is that?)
• On the convergence of the ensemble Kalman filter.
• The Iterated Kalman Smoother as a Gauss–Newton Method

Cited In (15)

• A Levenberg-Marquardt method for large nonlinear least-squares problems with dynamic accuracy in functions and gradients
• On the complexity of a stochastic Levenberg-Marquardt method
• Scalable subspace methods for derivative-free nonlinear least-squares optimization
• Convergence analysis of a subsampled Levenberg-Marquardt algorithm
• A Nonmonotone Matrix-Free Algorithm for Nonlinear Equality-Constrained Least-Squares Problems
• On the global complexity of a derivative-free Levenberg-Marquardt algorithm via orthogonal spherical smoothing
• A non-linear conjugate gradient in dual space for \(L_p\)-norm regularized non-linear least squares with application in data assimilation
• A robust adaptive iterative ensemble smoother scheme for practical history matching applications
• Numerical linear algebra in data assimilation
• A derivative-free Gauss-Newton method
• Convergence and complexity analysis of a Levenberg-Marquardt algorithm for inverse problems
• Convergent least-squares optimization methods for variational data assimilation
• A Stochastic Levenberg--Marquardt Method Using Random Models with Complexity Results
• A stochastic iteratively regularized Gauss-Newton method
• Levenberg-Marquardt method based on probabilistic Jacobian models for nonlinear equations

Uses Software

• EnKF

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