Ensemble Kalman methods with constraints

DOI10.1088/1361-6420/ab1c09zbMath1422.93173arXiv1901.05668OpenAlexW2908682713WikidataQ102324150 ScholiaQ102324150MaRDI QIDQ5197872

Matthew E. Levine, Elnaz Esmaeilzadeh Seylabi, Paul-Adrien Blancquart, David J. Albers, Andrew M. Stuart

Publication date: 20 September 2019

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.05668

zbMATH Keywords

convex optimizationderivative-free optimizationequality and inequality constraintsensemble Kalman methods

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems governed by partial differential equations (93C20) Estimation and detection in stochastic control theory (93E10) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (15)

Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering ⋮ Calibrate, emulate, sample ⋮ Efficient derivative-free Bayesian inference for large-scale inverse problems ⋮ Data assimilation with soft constraints (DASC) through a generalized iterative ensemble smoother ⋮ A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters ⋮ Recent trends on nonlinear filtering for inverse problems ⋮ A Stabilization of a Continuous Limit of the Ensemble Kalman Inversion ⋮ Iterated Kalman methodology for inverse problems ⋮ Adaptive Ensemble Kalman Inversion with Statistical Linearization ⋮ Tikhonov Regularization within Ensemble Kalman Inversion ⋮ Continuous limits for constrained ensemble Kalman filter ⋮ Iterative ensemble Kalman methods: a unified perspective with some new variants ⋮ Regularized ensemble Kalman methods for inverse problems ⋮ Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data ⋮ A model reference adaptive system approach for nonlinear online parameter identification

Uses Software

• EnKF

Cites Work

• Unnamed Item
• Generalized Kalman smoothing: modeling and algorithms
• Ensemble Kalman methods for inverse problems
• Sequential Monte Carlo Samplers
• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Probabilistic Forecasting and Bayesian Data Assimilation
• Data Assimilation
• Optimization Viewpoint on Kalman Smoothing with Applications to Robust and Sparse Estimation
• Constrained state estimation for nonlinear discrete-time systems: stability and moving horizon approximations
• Constrained Kalman filtering via density function truncation for turbofan engine health estimation

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