Related papers: Flow Annealed Kalman Inversion for Gradient-Free I…
The efficient resolution of Bayesian inverse problems remains challenging due to the high computational cost of traditional sampling methods. In this paper, we propose a novel framework that integrates Conditional Flow Matching (CFM) with a…
The interaction between the foundation structures and the soil has been developed for many engineering applications. For the determination of the stress in foundation structure it is needed to determine the influence of the stiffness of…
Sparse dynamics identification is an essential tool for discovering interpretable physical models and enabling efficient control in engineering systems. However, existing methods rely on batch learning with full historical data, limiting…
The Kalman filter (KF) provides optimal recursive state estimates for linear-Gaussian systems and underpins applications in control, signal processing, and others. However, it is vulnerable to outliers in the measurements and process noise.…
Data assimilation (DA) for compressible flows with shocks is challenging because many classical DA methods generate spurious oscillations and nonphysical features near uncertain shocks. We focus here on the ensemble Kalman filter (EnKF). We…
We study the use of novel techniques arising in machine learning for inverse problems. Our approach replaces the complex forward model by a neural network, which is trained simultaneously in a one-shot sense when estimating the unknown…
Approximate Bayesian computation (ABC) is the most popular approach to inferring parameters in the case where the data model is specified in the form of a simulator. It is not possible to directly implement standard Monte Carlo methods for…
Randomized algorithms exploit stochasticity to reduce computational complexity. One important example is random feature regression (RFR) that accelerates Gaussian process regression (GPR). RFR approximates an unknown function with a random…
The iterative ensemble Kalman filter (IEnKF) is widely used in inverse problems to estimate system parameters from limited observations. However, the IEnKF, when applied to nonlinear systems, can be plagued by poor convergence. Here we…
The Kalman filter (KF) is one of the most widely used tools for data assimilation and sequential estimation. In this work, we show that the state estimates from the KF in a standard linear dynamical system setting are equivalent to those…
We propose a computational method (with acronym ALDI) for sampling from a given target distribution based on first-order (overdamped) Langevin dynamics which satisfies the property of affine invariance. The central idea of ALDI is to run an…
Among the class of nonlinear particle filtering methods, the Ensemble Kalman Filter (EnKF) has gained recent attention for its use in solving inverse problems. We review the original method and discuss recent developments in particular in…
The Kalman filter is an algorithm for the estimation of hidden variables in dynamical systems under linear Gauss-Markov assumptions with widespread applications across different fields. Recently, its Bayesian interpretation has received a…
Annealed Importance Sampling (AIS) and its Sequential Monte Carlo (SMC) extensions are state-of-the-art methods for estimating normalizing constants of probability distributions. We propose here a novel Monte Carlo algorithm, Annealed Flow…
Multi-modal and high-dimensional posteriors present significant challenges for variational inference, causing mode-seeking behavior and collapse despite the theoretical expressiveness of normalizing flows. Traditional annealing methods…
Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's…
Few real-world systems are amenable to truly Bayesian filtering; nonlinearities and non-Gaussian noises can wreak havoc on filters that rely on linearization and Gaussian uncertainty approximations. This article presents the Bayesian…
Inverse problems are common and important in many applications in computational physics but are inherently ill-posed with many possible model parameters resulting in satisfactory results in the observation space. When solving the inverse…
We investigate the combined use of a Kinect depth sensor and of a stochastic data assimilation method to recover free-surface flows. More specifically, we use a Weighted ensemble Kalman filter method to reconstruct the complete state of…
We formulate the discrete-time inverse optimal control problem of inferring unknown parameters in the objective function of an optimal control problem from measurements of optimal states and controls as a nonlinear filtering problem. This…