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A stabilization of a continuous limit of the ensemble Kalman inversion. (English) Zbl 1501.37090

Summary: 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 recent years several continuous limits in the number of iterations and particles have been performed in order to study properties of the method. In particular, a one-dimensional linear stability analysis reveals possible drawbacks in the phase space of moments provided by the continuous limits of the EKI but is observed also in the multidimensional setting. In this work we address this issue by introducing a stabilization of the dynamics which leads to a method with globally asymptotically stable solutions. We illustrate the performance of the stabilized version by using test inverse problems from the literature and comparing it with the classical continuous limit formulation of the method.

MSC:

37N35 Dynamical systems in control
37M99 Approximation methods and numerical treatment of dynamical systems
65N21 Numerical methods for inverse problems for boundary value problems involving PDEs
93E11 Filtering in stochastic control theory

Software:

EnKF

References:

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