Ensemble Kalman methods with constraints
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Publication:5197872
convex optimizationderivative-free optimizationensemble Kalman methodsequality and inequality constraints
Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Control/observation systems governed by ordinary differential equations (93C15) Control/observation systems governed by partial differential equations (93C20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)
Abstract: Ensemble Kalman methods constitute an increasingly important tool in both state and parameter estimation problems. Their popularity stems from the derivative-free nature of the methodology which may be readily applied when computer code is available for the underlying state-space dynamics (for state estimation) or for the parameter-to-observable map (for parameter estimation). There are many applications in which it is desirable to enforce prior information in the form of equality or inequality constraints on the state or parameter. This paper establishes a general framework for doing so, describing a widely applicable methodology, a theory which justifies the methodology, and a set of numerical experiments exemplifying it.
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Cited in
(31)- Iterative ensemble Kalman methods: a unified perspective with some new variants
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