The ensemble Kalman filter for rare event estimation

DOI10.1137/21M1404119zbMATH Open1482.62083arXiv2106.10062MaRDI QIDQ5862907FDOQ5862907

Authors: Fabian Wagner, Iason Papaioannou, Elisabeth Ullmann 

Publication date: 10 March 2022

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

Abstract: We present a novel sampling-based method for estimating probabilities of rare or failure events. Our approach is founded on the Ensemble Kalman filter (EnKF) for inverse problems. Therefore, we reformulate the rare event problem as an inverse problem and apply the EnKF to generate failure samples. To estimate the probability of failure, we use the final EnKF samples to fit a distribution model and apply Importance Sampling with respect to the fitted distribution. This leads to an unbiased estimator if the density of the fitted distribution admits positive values within the whole failure domain. To handle multi-modal failure domains, we localise the covariance matrices in the EnKF update step around each particle and fit a mixture distribution model in the Importance Sampling step. For affine linear limit-state functions, we investigate the continuous-time limit and large time properties of the EnKF update. We prove that the mean of the particles converges to a convex combination of the most likely failure point and the mean of the optimal Importance Sampling density if the EnKF is applied without noise. We provide numerical experiments to compare the performance of the EnKF with Sequential Importance Sampling.

Full work available at URL: https://arxiv.org/abs/2106.10062

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zbMATH Keywords

importance samplinginverse problemsreliability analysisensemble Kalman filter

Mathematics Subject Classification ID

Sequential estimation (62L12) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Stochastic particle methods (65C35)

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Cited In (1)

• Consensus-based rare event estimation

Uses Software

• EnKF

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