EnKSGD: a class of preconditioned black box optimization and inversion algorithms

DOI10.1137/23M1561142zbMATH Open1545.65242MaRDI QIDQ6562384FDOQ6562384

Authors: Brian Irwin, Sebastian Reich 

Publication date: 26 June 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

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zbMATH Keywords

parameter estimationinverse problemsensemble Kalman filterblack box optimizationaffine-invariance

Mathematics Subject Classification ID

Point estimation (62F10) Numerical mathematical programming methods (65K05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative-free methods and methods using generalized derivatives (90C56)

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