Corpus ID: 236635557

Continuous time limit of the stochastic ensemble Kalman inversion: Strong convergence analysis

  title={Continuous time limit of the stochastic ensemble Kalman inversion: Strong convergence analysis},
  author={Dirk Bl{\"o}mker and Claudia Schillings and Philipp Wacker and Simon Weissmann},
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 underlying measure by an ensemble of particles and iteratively applies the ensemble Kalman update to evolve (the approximation of the) prior into the posterior measure. For the convergence analysis of the EKI it is common practice to derive a continuous version, replacing the iteration with a stochastic differential equation… Expand

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