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Ensemble Kalman Inversion for nonlinear problems: Weights, consistency, and variance bounds

  • * Corresponding author: Zhiyan Ding

    * Corresponding author: Zhiyan Ding 

Zhiyan Ding and Qin Li are supported in part by NSF CAREER DMS-1750488, NSF TRIPODS 1740707 and Wisconsin Data Science Initiative. The work of Jianfeng Lu is supported in part by National Science Foundation via grants DMS-1454939 and DMS-2012286. All three authors thank the two anonymous referees for the very helpful suggestions

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  • Ensemble Kalman Inversion (EnKI) [23] and Ensemble Square Root Filter (EnSRF) [36] are popular sampling methods for obtaining a target posterior distribution. They can be seem as one step (the analysis step) in the data assimilation method Ensemble Kalman Filter [17,3]. Despite their popularity, they are, however, not unbiased when the forward map is nonlinear [12,16,25]. Important Sampling (IS), on the other hand, obtains the unbiased sampling at the expense of large variance of weights, leading to slow convergence of high moments.

    We propose WEnKI and WEnSRF, the weighted versions of EnKI and EnSRF in this paper. It follows the same gradient flow as that of EnKI/EnSRF with weight corrections. Compared to the classical methods, the new methods are unbiased, and compared with IS, the method has bounded weight variance. Both properties will be proved rigorously in this paper. We further discuss the stability of the underlying Fokker-Planck equation. This partially explains why EnKI, despite being inconsistent, performs well occasionally in nonlinear settings. Numerical evidence will be demonstrated at the end.

    Mathematics Subject Classification: Primary: 62D05; Secondary: 82C31.


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  • Figure 1.  Example $ 1 $: from left top to bottom right: WEnKI; WEnSRF; WEnKF, as shown in Remark 1 and equation (44); IS; EnKI and EnSRF. (All evolutional equation take $ \Delta t = 10^{-3} $.)

    Figure 2.  Example $ 2 $: from left top to bottom right: WEnKI; WEnSRF; WEnKF; IS; EnKI and EnSRF

    Figure 3.  Example $ 3 $: from left top to bottom right: WEnKI; WEnSRF; WEnKF; IS; EnKI and EnSRF

    Figure 4.  Example 3: $ \log( {\rm{Var}}(Nw(t))+1) $ for WEnKI, WEnSRF and IS

    Figure 5.  Example $ 4 $: from left top to bottom right: WEnKI; WEnSRF; WEnKF; IS; EnKI and EnSRF

    Figure 6.  Example $ 5 $: from left top to bottom right: WEnKI; WEnSRF; WEnKF; IS; EnKI and EnSRF

    Figure 7.  Example 5: $ \log( {\rm{Var}}(Nw(t))+1) $ for WEnKI, WEnSRF and IS

    Table 1.  Error of moments estimation in Example 3

    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.84$ 3.82 0.0056 3.88 0.0098
    $\mathbb{E}|u|^2=14.90$ 14.73 0.0114 15.19 0.0192
    $\mathbb{E}|u|^3=58.22$ 57.19 0.0177 59.86 0.0281
    $\mathbb{E}|u|^4=229.36$ 223.79 0.0243 237.75 0.0366
    $\mathbb{E}|u|^5=911.22$ 882.83 0.0312 951.95 0.0447
    EnKI EnSRF
    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.84$ 3.69 0.0413 3.70 0.0391
    $\mathbb{E}|u|^2=14.90$ 13.66 0.0833 13.73 0.0785
    $\mathbb{E}|u|^3=58.22$ 50.90 0.1258 51.35 0.1181
    $\mathbb{E}|u|^4=229.36$ 190.68 0.1687 193.24 0.1575
    $\mathbb{E}|u|^5=911.22$ 718.31 0.2117 732.17 0.1965
    WEnKF IS
    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.84$ 3.40 0.1156 3.52 0.0858
    $\mathbb{E}|u|^2=14.90$ 11.65 0.2181 12.37 0.1699
    $\mathbb{E}|u|^3=58.22$ 40.22 0.3093 43.57 0.2517
    $\mathbb{E}|u|^4=229.36$ 139.72 0.3908 153.56 0.3305
    $\mathbb{E}|u|^5=911.22$ 488.51 0.4639 541.71 0.4055
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    Table 2.  Simulation time in Example 1-3

    Example 1 0.362s 0.197s 0.138s 0.178s
    Example 2 50.041s 41.739s 26.564s 18.518s
    Example 3 0.198s 0.115s 0.120s 0.072s
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    Table 3.  Error of moments estimation in Example 5

    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.32$ 3.30 0.0055 3.32 0.0017
    $\mathbb{E}|u|^2=11.16$ 10.99 0.0147 11.19 0.0023
    $\mathbb{E}|u|^3=38.05$ 36.99 0.0279 38.12 0.0019
    $\mathbb{E}|u|^4=131.45$ 125.53 0.0451 131.47 0.0001
    $\mathbb{E}|u|^5=460.56$ 429.99 0.0664 459.16 0.0030
    EnKI EnSRF
    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.32$ 2.96 0.1084 3.28 0.0112
    $\mathbb{E}|u|^2=11.16$ 9.07 0.1872 11.04 0.0111
    $\mathbb{E}|u|^3=38.05$ 29.17 0.2332 38.25 0.0053
    $\mathbb{E}|u|^4=131.45$ 100.32 0.2369 137.43 0.0455
    $\mathbb{E}|u|^5=460.56$ 379.73 0.1755 516.22 0.1208
    WEnKF IS
    Moments Est. Re. Error Est. Re. Error
    $\mathbb{E}|u|^1=3.32$ 3.40 0.1658 3.24 0.0245
    $\mathbb{E}|u|^2=11.16$ 7.72 0.3077 10.50 0.0592
    $\mathbb{E}|u|^3=38.05$ 21.74 0.4287 34.10 0.1037
    $\mathbb{E}|u|^4=131.45$ 61.62 0.5313 110.81 0.1571
    $\mathbb{E}|u|^5=460.56$ 175.99 0.6179 360.27 0.2178
     | Show Table
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