Subsampling in ensemble Kalman inversion

DOI10.1088/1361-6420/ACE64BMaRDI QIDQ6171602zbMATH OpenFDO

Authors Jonas Latz, Claudia Schillings

Publication date 14 August 2023

Published in Inverse Problems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2302.11323

zbMATH Keywords

inverse problemspiecewise-deterministic Markov processparticle systemstochastic optimisationdata subsampling

Mathematics Subject Classification ID

Parametric inference (62Fxx) Numerical methods for partial differential equations, boundary value problems (65Nxx) Mathematical programming (90Cxx)

Abstract: We consider the Ensemble Kalman Inversion which has been recently introduced as an efficient, gradient-free optimisation method to estimate unknown parameters in an inverse setting. In the case of large data sets, the Ensemble Kalman Inversion becomes computationally infeasible as the data misfit needs to be evaluated for each particle in each iteration. Here, randomised algorithms like stochastic gradient descent have been demonstrated to successfully overcome this issue by using only a random subset of the data in each iteration, so-called subsampling techniques. Based on a recent analysis of a continuous-time representation of stochastic gradient methods, we propose, analyse, and apply subsampling-techniques within Ensemble Kalman Inversion. Indeed, we propose two different subsampling techniques: either every particle observes the same data subset (single subsampling) or every particle observes a different data subset (batch subsampling).

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Cited in

(1)

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