相关论文: Convergence Acceleration of Ensemble Kalman Invers…

This paper addresses the challenging task of guide wire navigation in cardiovascular interventions, focusing on the parameter estimation of a guide wire system using Ensemble Kalman Inversion (EKI) with a subsampling technique. The EKI uses…

The iterative ensemble Kalman filter (IEnKF) in a deterministic framework was introduced in Sakov et al. (2012) to extend the ensemble Kalman filter (EnKF) and improve its performance in mildly up to strongly nonlinear cases. However, the…

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…

We introduce a practical method for incorporating equality and inequality constraints in global optimization methods based on stochastic interacting particle systems, specifically consensus-based optimization (CBO) and ensemble Kalman…

Ensemble Kalman inversion is a parallelizable derivative-free method to solve inverse problems. The method uses an ensemble that follows the Kalman update formula iteratively to solve an optimization problem. The ensemble size is crucial to…

In this paper, we propose and develop a methodology for nonlinear systems health monitoring by modeling the damage and degradation mechanism dynamics as "slow" states that are augmented with the system "fast" dynamical states. This…

This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter,…

Controlled interacting particle systems such as the ensemble Kalman filter (EnKF) and the feedback particle filter (FPF) are numerical algorithms to approximate the solution of the nonlinear filtering problem in continuous time. The…

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…

Ensemble Kalman filter (EnKF) is an important data assimilation method for high dimensional geophysical systems. Efficient implementation of EnKF in practice often involves the localization technique, which updates each component using only…

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…

The ensemble Kalman inversion is widely used in practice to estimate unknown parameters from noisy measurement data. Its low computational costs, straightforward implementation, and non-intrusive nature makes the method appealing in various…

The use of model order reduction techniques in combination with ensemble-based methods for estimating the state of systems described by nonlinear partial differential equations has been of great interest in recent years in the data…

We present a practical implementation of the ensemble Kalman (EnKF) filter based on an iterative Sherman-Morrison formula. The new direct method exploits the special structure of the ensemble-estimated error covariance matrices in order to…

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…

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…

We propose a new type of the Ensemble Kalman Filter (EnKF), which uses the Fast Fourier Transform (FFT) for covariance estimation from a very small ensemble with automatic tapering, and for a fast computation of the analysis ensemble by…

State-of-the-art ensemble Kalman filtering (EnKF) algorithms require incorporating localization techniques to cope with the rank deficiency and the inherited spurious correlations in their error covariance matrices. Localization techniques…

In this work, we present the ensemble-marginalized Kalman filter (EnMKF), a sequential algorithm analogous to our previously proposed approach [1,2], for estimating the state and parameters of linear parabolic partial differential equations…

The Ensemble Kalman Filter (EnKF) is a widely used method for data assimilation in high-dimensional systems, with an ensemble update step equivalent to an empirical version of the Matheron update popular in Gaussian process regression -- a…