A New Look at the Ensemble Kalman Filter for Inverse Problems: Duality, Non-Asymptotic Analysis and Convergence Acceleration

C G Krishnanunni, Jonathan Wittmer, Tan Bui-Thanh +1

This work presents new results and understanding of the Ensemble Kalman filter (EnKF) for inverse problems. In particular, using a Lagrangian dual perspective we show that EnKF can…