Subsampling in ensemble Kalman inversion
From MaRDI portal
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).
Cites work
- A Matrix Differential Equation of Riccati Type
- A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems
- A Stochastic Approximation Method
- Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion
- Analysis of stochastic gradient descent in continuous time
- Analysis of the ensemble Kalman filter for inverse problems
- Complete Deterministic Dynamics and Spectral Decomposition of the Linear Ensemble Kalman Inversion
- Consistency analysis of bilevel data-driven learning in inverse problems
- Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis
- Continuous-time Markov chains. An applications-oriented approach
- Convergence analysis of ensemble Kalman inversion: the linear, noisy case
- Ensemble Kalman inversion: a derivative-free technique for machine learning tasks
- Ensemble Kalman inversion: mean-field limit and convergence analysis
- Ensemble Kalman methods for inverse problems
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
- Iterative regularization for ensemble data assimilation in reservoir models
- Nonlinear stability and ergodicity of ensemble based Kalman filters
- Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
- Optimization methods for large-scale machine learning
- Quantitative ergodicity for some switched dynamical systems
- Separability and completeness for the Wasserstein distance
- Stochastic modified equations and dynamics of stochastic gradient algorithms. I: Mathematical foundations
- Tikhonov regularization within ensemble Kalman inversion
- Well posedness and convergence analysis of the ensemble Kalman inversion
Cited in
(6)- On the ensemble Kalman inversion under inequality constraints
- How to beat a Bayesian adversary
- The fundamental subspaces of ensemble Kalman inversion
- The ensemble Kalman filter for dynamic inverse problems
- Ensemble Kalman inversion for image guided guide wire navigation in vascular systems
- Gradient-free sequential Bayesian experimental design via interacting particle systems
This page was built for publication: Subsampling in ensemble Kalman inversion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6171602)
