Tikhonov regularization within ensemble Kalman inversion
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PDEs in connection with control and optimization (35Q93) Applications of variational problems to control theory (58E25) Bayesian inference (62F15) Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Numerical optimization and variational techniques (65K10) Numerical methods for ill-posed problems for initial value and initial-boundary value problems involving PDEs (65M30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Control/observation systems governed by partial differential equations (93C20)
Abstract: Ensemble Kalman inversion is a parallelizable methodology for solving inverse or parameter estimation problems. Although it is based on ideas from Kalman filtering, it may be viewed as a derivative-free optimization method. In its most basic form it regularizes ill-posed inverse problems through the subspace property: the solution found is in the linear span of the initial ensemble employed. In this work we demonstrate how further regularization can be imposed, incorporating prior information about the underlying unknown. In particular we study how to impose Tikhonov-like Sobolev penalties. As well as introducing this modified ensemble Kalman inversion methodology, we also study its continuous-time limit, proving ensemble collapse; in the language of multi-agent optimization this may be viewed as reaching consensus. We also conduct a suite of numerical experiments to highlight the benefits of Tikhonov regularization in the ensemble inversion context.
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