Repository: Freie Universit├Ąt Berlin, Math Department

Convergence Analysis of the Ensemble Kalman Filter for Inverse Problems: the Noisy Case

Schillings, Claudia and Stuart, Andrew M. (2017) Convergence Analysis of the Ensemble Kalman Filter for Inverse Problems: the Noisy Case. ArXiv .

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

Abstract

We present an analysis of the ensemble Kalman filter for inverse problems based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows to establish well-posedness and convergence results for a fixed ensemble size. We will build on the results presented in [Schillings, Stuart 2017] 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.

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:2996
Deposited By: Ulrike Eickers
Deposited On:05 Jun 2023 13:26
Last Modified:05 Jun 2023 13:26

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