Wasserstein stability estimates for covariance-preconditioned Fokker-Planck equations

Abstract

We study the convergence to equilibrium of the mean field PDE associated with the derivative-free methodologies for solving inverse problems. We show stability estimates in the euclidean Wasserstein distance for the mean field PDE by using optimal transport arguments. As a consequence, this recovers the known convergence towards equilibrium estimates in the case of a linear forward model.

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References in corpus (2)

• The Ensemble Kalman Filter for Inverse Problems
• Operator Lipschitz functions (English translation)