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math.PR2017★ 1 cited
A strongly convergent numerical scheme from Ensemble Kalman inversion
Dirk Blömker, Claudia Schillings, Philipp Wacker
The Ensemble Kalman methodology in an inverse problems setting can be viewed as an iterative scheme, which is a weakly tamed discretization scheme for a certain stochastic differen…
math.NA2017
Convergence Analysis of Ensemble Kalman Inversion: The Linear, Noisy Case
Claudia Schillings, Andrew Stuart
We present an analysis of ensemble Kalman inversion, based on the continuous time limit of the algorithm. The analysis of the dynamical behaviour of the ensemble allows us to estab…