Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg


Oberseminar Stochastik


Simon Weißmann
Universität Mannheim

spricht am
Mittwoch, 12. Dezember 2018
15:45 Uhr
Raum 2004 (L1)
über das Thema:

»Well posedness and convergence analysis of the ensemble Kalman inversion«

The ensemble Kalman filter (EnKF) is a widely used metheodology for data assimilation problems and has been recently generalized to inverse problems as well. We present a complete analysis of the ensemble Kalman inversion with perturbed observations for fixed ensemble size when applied to linear inverse problems. The theoretical results are based on the analysis of the continuous time limit of the algorithm, i.e. a system of coupled stochastic differential equations. We show well-posedness of the scheme and present accuracy results of the EnKF estimate. We view the method as a derivative free optimization method for the least-squares misfit functional, which opens up the perspective to use the method in various areas of applications such as imaging, groundwater flow problems, biological problems as well as in the context of the training of neural networks.


Hierzu ergeht herzliche Einladung.
Prof. Dr. Dirk Blömker

[Impressum]      [Datenschutz],     Mo 19-Nov-2018 10:37:41 MEZ