Related papers: Sequential Kalman Tuning of the $t$-preconditioned…
The Bayesian approach to inverse problems is widely used in practice to infer unknown parameters from noisy observations. In this framework, the ensemble Kalman inversion has been successfully applied for the quantification of uncertainties…
The unscented Kalman inversion (UKI) method presented in [1] is a general derivative-free approach for the inverse problem. UKI is particularly suitable for inverse problems where the forward model is given as a black box and may not be…
In inverse problems, the goal is to estimate unknown model parameters from noisy observational data. Traditionally, inverse problems are solved under the assumption of a fixed forward operator describing the observation model. In this…
In this paper, we study efficient approximate sampling for probability distributions known up to normalization constants. We specifically focus on a problem class arising in Bayesian inference for large-scale inverse problems in science and…
Ensemble Kalman Inversion (EnKI) and Ensemble Square Root Filter (EnSRF) are popular sampling methods for obtaining a target posterior distribution. They can be seem as one step (the analysis step) in the data assimilation method Ensemble…
Ensemble Kalman Inversion (EKI) has been a very popular algorithm used in Bayesian inverse problems. It samples particles from a prior distribution, and introduces a motion to move the particles around in pseudo-time. As the pseudo-time…
Sampling of sharp posteriors in high dimensions is a challenging problem, especially when gradients of the likelihood are unavailable. In low to moderate dimensions, affine-invariant methods, a class of ensemble-based gradient-free methods,…
Many scientific and engineering problems require to perform Bayesian inferences for unknowns of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary slow under the mesh refinement,…
Bayesian Physics Informed Neural Networks (B-PINNs) have gained significant attention for inferring physical parameters and learning the forward solutions for problems based on partial differential equations. However, the overparameterized…
Ensemble Kalman inversion (EKI) is an ensemble-based method to solve inverse problems. Its gradient-free formulation makes it an attractive tool for problems with involved formulation. However, EKI suffers from the ''subspace property'',…
The ensemble Kalman inversion (EKI) for the solution of Bayesian inverse problems of type $y = A u +\varepsilon$, with $u$ being an unknown parameter, $y$ a given datum, and $\varepsilon$ measurement noise, is a powerful tool usually…
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…
Many parameter estimation problems arising in applications are best cast in the framework of Bayesian inversion. This allows not only for an estimate of the parameters, but also for the quantification of uncertainties in the estimates.…
In recent years, uncertainty-aware full waveform inversion (FWI) has received increasing attention, with a growing emphasis on producing informative uncertainty estimates alongside inversion results. Bayesian inference methods--particularly…
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…
The Ensemble Kalman Filter (EnKF) belongs to the class of iterative particle filtering methods and can be used for solving control--to--observable inverse problems. In this context, the EnKF is known as Ensemble Kalman Inversion (EKI). In…
Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…
Inverse problems are ubiquitous because they formalize the integration of data with mathematical models. In many scientific applications the forward model is expensive to evaluate, and adjoint computations are difficult to employ; in this…
Enforcing sparse structure within learning has led to significant advances in the field of data-driven discovery of dynamical systems. However, such methods require access not only to time-series of the state of the dynamical system, but…
We propose an efficient online approximate Bayesian inference algorithm for estimating the parameters of a nonlinear function from a potentially non-stationary data stream. The method is based on the extended Kalman filter (EKF), but uses a…