Related papers: Adaptive regularisation for ensemble Kalman invers…
In this paper, the ensemble consider Kalman filter is proposed to mitigate the negative effects of uncertain parameters in nonlinear dynamic and measurement models. The ensemble Kalman filter can avoid using the Jacobian matrices and reduce…
We propose a new algorithm for an adaptive optics system control law which allows to reduce the computational burden in the case of an Extremely Large Telescope (ELT) and to deal with non-stationary behaviors of the turbulence. This…
The new version of a posteriori choice (NVAC) of the regularization parameter in the classical Tikhonov regularization method is considered. Lemmas and theorems on the error and the asymptotic convergence rate of the regularized solution…
We address the problem of {\it adaptivity} in the framework of reproducing kernel Hilbert space (RKHS) regression. More precisely, we analyze estimators arising from a linear regularization scheme $g_\lam$. In practical applications, an…
The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences,…
This paper introduces a new strategy for setting the regularization parameter when solving large-scale discrete ill-posed linear problems by means of the Arnoldi-Tikhonov method. This new rule is essentially based on the discrepancy…
We analyze the Ensemble and Polynomial Chaos Kalman filters applied to nonlinear stationary Bayesian inverse problems. In a sequential data assimilation setting such stationary problems arise in each step of either filter. We give a new…
We propose an adaptive regularization scheme in a variational framework where a convex composite energy functional is optimized. We consider a number of imaging problems including denoising, segmentation and motion estimation, which are…
Ensemble Kalman methods constitute an increasingly important tool in both state and parameter estimation problems. Their popularity stems from the derivative-free nature of the methodology which may be readily applied when computer code is…
Bayesian inference with empirical likelihood faces a challenge as the posterior domain is a proper subset of the original parameter space due to the convex hull constraint. We propose a regularized exponentially tilted empirical likelihood…
This work presents a novel target-free extrinsic calibration algorithm for a 3D Lidar and an IMU pair using an Extended Kalman Filter (EKF) which exploits the \textit{motion based calibration constraint} for state update. The steps include,…
We present a novel algorithm based on the ensemble Kalman filter to solve inverse problems involving multiscale elliptic partial differential equations. Our method is based on numerical homogenization and finite element discretization and…
The problem of incorporating information from observations received serially in time is widespread in the field of uncertainty quantification. Within a probabilistic framework, such problems can be addressed using standard filtering…
The phase-field approach to brittle fracture provides a continuum framework for modeling crack initiation and propagation without explicit representation of discrete crack surfaces, provided the spatial discretization is fine enough to…
Nonlinear Bayesian update for a prior ensemble is proposed to extend traditional ensemble Kalman filtering to settings characterized by non-Gaussian priors and nonlinear measurement operators. In this framework, the observed component is…
The Ensemble Kalman methodology in an inverse problems setting can be viewed as an iterative scheme, which is a weakly tamed discretization scheme for a certain stochastic differential equation (SDE). Assuming a suitable approximation…
We introduce a new iterative regularization method for solving inverse problems that can be written as systems of linear or non-linear equations in Hilbert spaces. The proposed averaged Kaczmarz (AVEK) method can be seen as a hybrid method…
We propose a closed-form spectral framework for relative log-density estimation in linearly parameterized probabilistic models, including unnormalized and conditional models. This is achieved by representing the Kullback-Leibler (KL)…
Several variations of the Kalman filter algorithm, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are widely used in science and engineering applications. In this paper, we introduce two algorithms of…
The unscented Kalman inversion (UKI) presented in [1] is a general derivative-free approach to solving the inverse problem. UKI is particularly suitable for inverse problems where the forward model is given as a black box and may not be…