相关论文: The Fundamental Subspaces of Ensemble Kalman Inver…

The Ensemble Kalman Filter (EnKF), as a fundamental data assimilation approach, has been widely used in many fields of the sciences and engineering. When the state variable is of high dimensional accompanied with high resolution…

This work introduces a new, distributed implementation of the Ensemble Kalman Filter (EnKF) that allows for non-sequential assimilation of large datasets in high-dimensional problems. The traditional EnKF algorithm is computationally…

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…

The Ensemble Kalman Filter method can be used as an iterative numerical scheme for parameter identification or nonlinear filtering problems. We study the limit of infinitely large ensemble size and derive the corresponding mean-field limit…

Data assimilation provides algorithms for widespread applications in various fields. It is of practical use to deal with a large amount of information in the complex system that is hard to estimate. Weather forecasting is one of the…

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 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…

Full-Waveform Inversion (FWI) is a nonlinear iterative seismic imaging technique that, by reducing the misfit between recorded and predicted seismic waveforms, can produce detailed estimates of subsurface geophysical properties.…

We derive symmetry preserving invariant extended Kalman filters (IEKF) on matrix Lie groups. These Kalman filters have an advantage over conventional extended Kalman filters as the error dynamics for such filters are independent of the…

In this paper, we revisit the inconsistency problem of EKF-based cooperative localization (CL) from the perspective of system decomposition. By transforming the linearized system used by the standard EKF into its Kalman observable canonical…

The K-means algorithm is among the most commonly used data clustering methods. However, the regular K-means can only be applied in the input space and it is applicable when clusters are linearly separable. The kernel K-means, which extends…

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman…

The Extended Kalman Filter (EKF) is both the historical algorithm for multi-sensor fusion and still state of the art in numerous industrial applications. However, it may prove inconsistent in the presence of unobservability under a group of…

Ensemble smoother (ES) has been widely used in various research fields to reduce the uncertainty of the system-of-interest. However, the commonly-adopted ES method that employs the Kalman formula, that is, ES$_\text{(K)}$, does not perform…

Large-scale dynamic inverse problems are often ill-posed due to model complexity and the high dimensionality of the unknown parameters. Regularization is commonly employed to mitigate ill-posedness by incorporating prior information and…

In this paper, we propose a novel adaptive stochastic extended iterative method, which can be viewed as an improved extension of the randomized extended Kaczmarz (REK) method, for finding the unique minimum Euclidean norm least-squares…

Full-waveform inversion (FWI) is known as a seismic data processing method that achieves high-resolution imaging. In the inversion part of the method that brings high resolution in finding a convergence point in the model space, a local…

The extended Kalman filter (EKF) is a cornerstone of nonlinear state estimation, yet its performance is fundamentally limited by noise-model mismatch and linearization errors. We develop a residual-aware distributionally robust EKF that…

We investigate the application of ensemble transform approaches to Bayesian inference of logistic regression problems. Our approach relies on appropriate extensions of the popular ensemble Kalman filter and the feedback particle filter to…

Finite-dimensional approximations of the Koopman operator rely critically on identifying nearly invariant subspaces. This invariance proximity can be rigorously quantified via the principal angles between a candidate subspace and its image…