Ensemble Kalman methods with constraints

DOI10.1088/1361-6420/AB1C09zbMATH Open1422.93173arXiv1901.05668OpenAlexW2908682713WikidataQ102324150 ScholiaQ102324150MaRDI QIDQ5197872FDOQ5197872

Matthew E. Levine, Elnaz Esmaeilzadeh Seylabi, D. J. Albers, Paul-Adrien Blancquart, A. M. Stuart

Publication date: 20 September 2019

Published in: Inverse Problems (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1901.05668

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zbMATH Keywords

convex optimizationderivative-free optimizationequality and inequality constraintsensemble Kalman methods

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) 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) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

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Cited In (22)

• Efficient derivative-free Bayesian inference for large-scale inverse problems
• Recent trends on nonlinear filtering for inverse problems
• Continuous limits for constrained ensemble Kalman filter
• EnKSGD: a class of preconditioned black box optimization and inversion algorithms
• Learning about structural errors in models of complex dynamical systems
• On the ensemble Kalman inversion under inequality constraints
• A model reference adaptive system approach for nonlinear online parameter identification
• Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
• Tikhonov Regularization within Ensemble Kalman Inversion
• A Stabilization of a Continuous Limit of the Ensemble Kalman Inversion
• Title not available (Why is that?)
• Iterated Kalman methodology for inverse problems
• A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters
• A reduced basis ensemble Kalman method
• Data assimilation with soft constraints (DASC) through a generalized iterative ensemble smoother
• Iterative ensemble Kalman methods: a unified perspective with some new variants
• Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data
• Neural dynamical operator: continuous spatial-temporal model with gradient-based and derivative-free optimization methods
• An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
• Regularized ensemble Kalman methods for inverse problems
• Calibrate, emulate, sample
• Adaptive Ensemble Kalman Inversion with Statistical Linearization

Uses Software

• EnKF

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