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

@article{Blmker2021ContinuousTL, 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}, journal={ArXiv}, year={2021}, volume={abs/2107.14508} }

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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Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion

- Mathematics, Computer Science
- 2021

Ensemble Kalman inversion (EKI) is a derivative-free optimizer aimed at solving inverse problems, taking motivation from the celebrated ensemble Kalman filter. The purpose of this article is to… Expand

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