Analysis of the ensemble Kalman filter for inverse problems

DOI10.1137/16M105959XMaRDI QIDQ5346008zbMATH OpenFDO

Authors Claudia Schillings, A. M. Stuart

Publication date 8 June 2017

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.02020

zbMATH Keywords

Bayesian inverse problemsensemble Kalman filternumerical resultoptimizationparameter estimation

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Point estimation (62F10) Bayesian inference (62F15) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

Abstract: The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences, and its gradual adoption in many other areas of application, analysis of the method is in its infancy. Furthermore, much of the existing analysis deals with the large ensemble limit, far from the regime in which the method is typically used. The goal of this paper is to analyze the method when applied to inverse problems with fixed ensemble size. A continuous-time limit is derived and the long-time behavior of the resulting dynamical system is studied. Most of the rigorous analysis is confined to the linear forward problem, where we demonstrate that the continuous time limit of the EnKF corresponds to a set of gradient flows for the data misfit in each ensemble member, coupled through a common pre-conditioner which is the empirical covariance matrix of the ensemble. Numerical results demonstrate that the conclusions of the analysis extend beyond the linear inverse problem setting. Numerical experiments are also given which demonstrate the benefits of various extensions of the basic methodology.

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Describes a project that uses

Uses Software

• EnKF

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