Ensemble Kalman Methods: A Mean Field Perspective

Sebastian Reich, Edoardo Calvello, A. M. Stuart

Publication date: 22 September 2022

Abstract: This paper provides a unifying mean field based framework for the derivation and analysis of ensemble Kalman methods. Both state estimation and parameter estimation problems are considered, and formulations in both discrete and continuous time are employed. For state estimation problems both the control and filtering approaches are studied; analogously, for parameter estimation (inverse) problems the optimization and Bayesian perspectives are both studied. The approach taken unifies a wide-ranging literature in the field, provides a framework for analysis of ensemble Kalman methods, and suggests open problems.

Has companion code repository: https://github.com/EdoardoCalvello/EnsembleKalmanMethods

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