EnKSGD: a class of preconditioned black box optimization and inversion algorithms

DOI10.1137/23m1561142zbMath1545.65242MaRDI QIDQ6562384

Sebastian Reich, Brian Irwin

Publication date: 26 June 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

parameter estimationaffine-invarianceinverse problemsensemble Kalman filterblack box optimization

Mathematics Subject Classification ID

Point estimation (62F10) Filtering in stochastic control theory (93E11) Numerical mathematical programming methods (65K05) Derivative-free methods and methods using generalized derivatives (90C56) Signal detection and filtering (aspects of stochastic processes) (60G35)

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