Recent Trends on Nonlinear Filtering for Inverse Problems

arXiv (Cornell University)

Abstract

Among the class of nonlinear particle filtering methods, the Ensemble Kalman Filter (EnKF) has gained recent attention for its use in solving inverse problems. We review the original method and discuss recent developments in particular in view of the limit for infinitely particles and extensions towards stability analysis and multi--objective optimization. We illustrate the performance of the method by using test inverse problems from the literature.

Authors 3

1. Michaël Herty Aachen Institute for Geometry and Applied Mathematics

   RWTH Aachen University

   Affiliation as printed

   Institute for Geometry and Applied Mathematics , RWTH Aachen University , Templergraben 55 , 52064 Aachen , Germany

2. Elisa Iacomini Aachen Institute for Geometry and Applied Mathematics

   RWTH Aachen University

   Affiliation as printed

   Institute for Geometry and Applied Mathematics , RWTH Aachen University , Templergraben 55 , 52064 Aachen , Germany

3. Giuseppe Visconti

   Sapienza University of Rome

   Affiliation as printed

   Department of Mathematics , Sapienza University of Rome , P.le Aldo Moro 5 , 00185 Rome , Italy