Repository: Freie Universit├Ąt Berlin, Math Department

Convergence analysis of ensemble Kalman inversion: the linear, noisy case

Schillings, Claudia and Stuart, Andrew M. (2017) Convergence analysis of ensemble Kalman inversion: the linear, noisy case. arXiv . (Submitted)

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Official URL: https://doi.org/10.48550/arXiv.1702.07894

Abstract

We present an analysis of ensemble Kalman inversion, based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows us to establish well-posedness and convergence results for a fixed ensemble size. We will build on the results presented in [26] and generalise them to the case of noisy observational data, in particular the influence of the noise on the convergence will be investigated, both theoretically and numerically. We focus on linear inverse problems where a very complete theoretical analysis is possible.

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics > Deterministic and Stochastic PDEs Group
ID Code:2993
Deposited By: Ulrike Eickers
Deposited On:05 Jun 2023 12:31
Last Modified:05 Jun 2023 12:31

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