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Analysis of Ensemble Kalman Inversion

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UNQW01 - Key UQ methodologies and motivating applications

The Ensemble Kalman filter (EnKF) has had enormous impact on the applied sciences since its introduction in the 1990s by Evensen and coworkers. It is used for both data assimilation problems, where the objective is to estimate a partially observed time-evolving system, and inverse problems, where the objective is to estimate a (typically distributed) parameter appearing in a differential equation. In this talk we will focus on the identification of parameters through observations of the response of the system – the inverse problem. The EnKF can be adapted to this setting by introducing artificial dynamics. Despite documented success as a solver for such inverse problems, there is very little analysis of the algorithm. In this talk, we will discuss well-posedness and convergence results of the EnKF based on the continuous time scaling limits, which allow to derive estimates on the long-time behavior of the EnKF and, hence, provide insights into the convergence properties of the algorithm. In particular, we are interested in the properties of the EnKF for a fixed ensemble size. Results from various numerical experiments supporting the theoretical findings will be presented. This is joint work with Dirk Bloemker (U Augsburg), Mike Christie (Heriot-Watt University), Andrew M. Stuart (Caltech) and Philipp Wacker (FAU Erlangen-Nuernberg).

This talk is part of the Isaac Newton Institute Seminar Series series.

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