Data Assimilation Meetings at Reading

Date Meeting type Speakers
29 May 2013 Invited speaker Andrew Stuart (University of Warwick)
Ensemble Methods for Data Assimilation and Inverse Problems. (pdf)
This talk will comprise two parts. In Part I) I will formulate approximate Gaussian filters in a general framework, and derive the Ensemble Kalman Filter from this. I will show that the the resulting interacting particle system is well-posed and cannot blow-up in a finite time. In Part II) I will demonstrate that ideas from the Ensemble Kalman Filter can be adapted to solve inverse problems: by running multiple interacting copies of the model, and exposing their output to the (suitably randomized) data, a derivative-free minimization tool is constructed. A key theoretical result is described and this is used to motivate a series of experiments which demonstrate the efficacy of the algorithm.
Part I) is joint work, currently in preparation, with David Kelly (Warwick). Introductory reading and references relevant to Part II) may be found in:

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