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math.NA2021★ 1 cited
Continuous time limit of the stochastic ensemble Kalman inversion: Strong convergence analysis
Dirk Blömker, Claudia Schillings, Philipp Wacker +1
The Ensemble Kalman inversion (EKI) method is a method for the estimation of unknown parameters in the context of (Bayesian) inverse problems. The method approximates the underlyin…
math.NA2019
On the Convergence of the Laplace Approximation and Noise-Level-Robustness of Laplace-based Monte Carlo Methods for Bayesian Inverse Problems
Claudia Schillings, Björn Sprungk, Philipp Wacker
The Bayesian approach to inverse problems provides a rigorous framework for the incorporation and quantification of uncertainties in measurements, parameters and models. We are int…