Probability Distributions.- Linear Models for Regression.- Linear Models for Classification.- Neural Networks.- Kernel Methods.- Sparse Kernel Machines.- Graphical Models.- Mixture Models and EM.- Approximate Inference.- Sampling Methods.- Continuous Latent Variables.- Sequential Data.- Combining Models.

Pattern Recognition and Machine Learning

The purpose of this paper is to provide a comprehensive presentation and interpretation of the Ensemble Kalman Filter (EnKF) and its numerical implementation. The EnKF has a large user group, and numerous publications have discussed applications and theoretical aspects of it. This paper reviews the important results from these studies and also presents new ideas and alternative interpretations which further explain the success of the EnKF. In addition to providing the theoretical framework needed for using the EnKF, there is also a focus on the algorithmic formulation and optimal numerical implementation. A program listing is given for some of the key subroutines. The paper also touches upon specific issues such as the use of nonlinear measurements, in situ profiles of temperature and salinity, and data which are available with high frequency in time. An ensemble based optimal interpolation (EnOI) scheme is presented as a cost-effective approach which may serve as an alternative to the EnKF in some applications. A fairly extensive discussion is devoted to the use of time correlated model errors and the estimation of model bias.

The Ensemble Kalman Filter: Theoretical formulation and practical implementation

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Regularization Of Inverse Problems

The paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that circumvent the costly pilot runs that are required to tune proposal densities for Metropolis-Hastings or indeed Hamiltonian Monte Carlo and Metropolis adjusted Langevin algorithms. This allows for highly efficient sampling even in very high dimensions where different scalings may be required for the transient and stationary phases of the Markov chain. The methodology proposed exploits the Riemann geometry of the parameter space of statistical models and thus automatically adapts to the local structure when simulating paths across this manifold, providing highly efficient convergence and exploration of the target density. The performance of these Riemann manifold Monte Carlo methods is rigorously assessed by performing inference on logistic regression models, log-Gaussian Cox point processes, stochastic volatility models and Bayesian estimation of dynamic systems described by non-linear differential equations. Substantial improvements in the time-normalized effective sample size are reported when compared with alternative sampling approaches. MATLAB code that is available from http://www.ucl.ac.uk/statistics/research/rmhmc allows replication of all the results reported.

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

The ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 (Evensen 1994 J. Geophys. Res. 99 10143–62) as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application domains because of its robustness and ease of implementation, and numerical evidence of its accuracy. In this paper we propose the application of an iterative ensemble Kalman method for the solution of a wide class of inverse problems. In this context we show that the estimate of the unknown function that we obtain with the ensemble Kalman method lies in a subspace A spanned by the initial ensemble. Hence the resulting error may be bounded above by the error found from the best approximation in this subspace. We provide numerical experiments which compare the error incurred by the ensemble Kalman method for inverse problems with the error of the best approximation in A, and with variants on traditional least-squares approaches, restricted to the subspace A. In so doing we demonstrate that the ensemble Kalman method for inverse problems provides a derivative-free optimization method with comparable accuracy to that achieved by traditional least-squares approaches. Furthermore, we also demonstrate that the accuracy is of the same order of magnitude as that achieved by the best approximation. Three examples are used to demonstrate these assertions: inversion of a compact linear operator; inversion of piezometric head to determine hydraulic conductivity in a Darcy model of groundwater flow; and inversion of Eulerian velocity measurements at positive times to determine the initial condition in an incompressible fluid.

/pdf/ensemble-kalman-methods-for-inverse-problems-51sa9o6u74.pdf

Ensemble Kalman methods for inverse problems

The Ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 [10] as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application domains because of its robustness and ease of implementation, and numerical evidence of its accuracy. In this paper we propose the application of an iterative ensemble Kalman method for the solution of a wide class of inverse problems. In this context we show that the estimate of the unknown function that we obtain with the ensemble Kalman method lies in a subspace A spanned by the initial ensemble. Hence the resulting error may be bounded above by the error found from the best approximation in this subspace. We provide numerical experiments which compare the error incurred by the ensemble Kalman method for inverse problems with the error of the best approximation in A, and with variants on traditional least-squares approaches, restricted to the subspace A. In so doing we demonstrate that the ensemble Kalman method for inverse problems provides a derivative-free optimization method with comparable accuracy to that achieved by traditional least-squares approaches. Furthermore, we also demonstrate that the accuracy is of the same order of magnitude as that achieved by the best approximation. Three examples are used to demonstrate these assertions: inversion of a compact linear operator; inversion of piezometric head to determine hydraulic conductivity in a Darcy model of groundwater flow; and inversion of Eulerian velocity measurements at positive times to determine the initial condition in an incompressible fluid.

/pdf/the-ensemble-kalman-filter-for-inverse-problems-28w1qxuvpj.pdf

The Ensemble Kalman Filter for Inverse Problems

The level set approach has proven widely successful in the study of inverse problems for interfaces, since its systematic development in the 1990s. Recently it has been employed in the context of Bayesian inversion, allowing for the quantification of uncertainty within the reconstruction of interfaces. However, the Bayesian approach is very sensitive to the length and amplitude scales in the prior probabilistic model. This paper demonstrates how the scale-sensitivity can be circumvented by means of a hierarchical approach, using a single scalar parameter. Together with careful consideration of the development of algorithms which encode probability measure equivalences as the hierarchical parameter is varied, this leads to well-defined Gibbs-based MCMC methods found by alternating Metropolis–Hastings updates of the level set function and the hierarchical parameter. These methods demonstrably outperform non-hierarchical Bayesian level set methods.

/pdf/hierarchical-bayesian-level-set-inversion-4fjtvcugam.pdf

Hierarchical Bayesian level set inversion

We introduce a derivative-free computational framework for approximating solutions to nonlinear PDE-constrained inverse problems. The general aim is to merge ideas from iterative regularization with ensemble Kalman methods from Bayesian inference to develop a derivative-free stable method easy to implement in applications where the PDE (forward) model is only accessible as a black box (e.g. with commercial software). The proposed regularizing ensemble Kalman method can be derived as an approximation of the regularizing Levenberg–Marquardt (LM) scheme (Hanke 1997 Inverse Problems 13 79–95) in which the derivative of the forward operator and its adjoint are replaced with empirical covariances from an ensemble of elements from the admissible space of solutions. The resulting ensemble method consists of an update formula that is applied to each ensemble member and that has a regularization parameter selected in a similar fashion to the one in the LM scheme. Moreover, an early termination of the scheme is proposed according to a discrepancy principle-type of criterion. The proposed method can be also viewed as a regularizing version of standard Kalman approaches which are often unstable unless ad hoc fixes, such as covariance localization, are implemented. The aim of this paper is to provide a detailed numerical investigation of the regularizing and convergence properties of the proposed regularizing ensemble Kalman scheme; the proof of these properties is an open problem. By means of numerical experiments, we investigate the conditions under which the proposed method inherits the regularizing properties of the LM scheme of (Hanke 1997 Inverse Problems 13 79–95) and is thus stable and suitable for its application in problems where the computation of the Frechet derivative is not computationally feasible. More concretely, we study the effect of ensemble size, number of measurements, selection of initial ensemble and tunable parameters on the performance of the method. The numerical investigation is carried out with synthetic experiments on two model inverse problems: (i) identification of conductivity on a Darcy flow model and (ii) electrical impedance tomography with the complete electrode model. We further demonstrate the potential application of the method in solving shape identification problems that arises from the aforementioned forward models by means of a level-set approach for the parameterization of unknown geometries.

http://iopscience.iop.org/article/10.1088/0266-5611/32/2/025002/pdf

A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems

We introduce a derivative-free computational framework for approximating solutions to nonlinear PDE-constrained inverse problems. The aim is to merge ideas from iterative regularization with ensemble Kalman methods from Bayesian inference to develop a derivative-free stable method easy to implement in applications where the PDE (forward) model is only accessible as a black box. The method can be derived as an approximation of the regularizing Levenberg-Marquardt (LM) scheme [14] in which the derivative of the forward operator and its adjoint are replaced with empirical covariances from an ensemble of elements from the admissible space of solutions. The resulting ensemble method consists of an update formula that is applied to each ensemble member and that has a regularization parameter selected in a similar fashion to the one in the LM scheme. Moreover, an early termination of the scheme is proposed according to a discrepancy principle-type of criterion. The proposed method can be also viewed as a regularizing version of standard Kalman approaches which are often unstable unless ad-hoc fixes, such as covariance localization, are implemented. We provide a numerical investigation of the conditions under which the proposed method inherits the regularizing properties of the LM scheme of [14]. More concretely, we study the effect of ensemble size, number of measurements, selection of initial ensemble and tunable parameters on the performance of the method. The numerical investigation is carried out with synthetic experiments on two model inverse problems: (i) identification of conductivity on a Darcy flow model and (ii) electrical impedance tomography with the complete electrode model. We further demonstrate the potential application of the method in solving shape identification problems by means of a level-set approach for the parameterization of unknown geometries.

Marco A. Iglesias

Papers

Ensemble Kalman methods for inverse problems

The Ensemble Kalman Filter for Inverse Problems

Hierarchical Bayesian level set inversion

A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems

A regularizing iterative ensemble Kalman method for PDE-constrained inverse problems