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

Abstract

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.

References in corpus (1)

• The Ensemble Kalman Filter for Inverse Problems

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