Complete Deterministic Dynamics and Spectral Decomposition of the Linear Ensemble Kalman Inversion

DOI10.1137/21M1429461zbMATH Open1514.62048arXiv2104.13281OpenAlexW4324045286MaRDI QIDQ6109166FDOQ6109166

Authors: Leon Bungert, Philipp Wacker 

Publication date: 30 June 2023

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

Abstract: The ensemble Kalman inversion (EKI) for the solution of Bayesian inverse problems of type $y=Au+varepsilon$, with $u$ being an unknown parameter, $y$ a given datum, and $varepsilon$ measurement noise, is a powerful tool usually derived from a sequential Monte Carlo point of view. It describes the dynamics of an ensemble of particles ${u^j(t)}_{j=1}^J$, whose initial empirical measure is sampled from the prior, evolving over an artificial time $t$ towards an approximate solution of the inverse problem, with $t=1$ emulating the posterior, and $toinfty$ corresponding to the under-regularized minimum-norm solution of the inverse problem. Using spectral techniques, we provide a complete description of the deterministic dynamics of EKI and its asymptotic behavior in parameter space. In particular, we analyze the dynamics of naive EKI and mean-field EKI with a special focus on their time asymptotic behavior. Furthermore, we show that -- even in the deterministic case -- residuals in parameter space do not decrease monotonously in the Euclidean norm and suggest a problem-adapted norm, where monotonicity can be proved. Finally, we derive a system of ordinary differential equations governing the spectrum and eigenvectors of the covariance matrix. While the analysis is aimed at the EKI, we believe that it can be applied to understand more general particle-based dynamical systems.

Full work available at URL: https://arxiv.org/abs/2104.13281

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zbMATH Keywords

spectral analysisBayesian inverse problemsensemble Kalman inversion

Mathematics Subject Classification ID

Bayesian inference (62F15) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Explicit solutions, first integrals of ordinary differential equations (34A05) General spectral theory of ordinary differential operators (34L05)

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Cited In (4)

• On the ensemble Kalman inversion under inequality constraints
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• Ensemble Kalman inversion: mean-field limit and convergence analysis
• Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models

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