Application of ensemble transform data assimilation methods for parameter estimation in nonlinear problems

Abstract

Abstract. Identification of unknown parameters on the basis of partial and noisy data is a challenging task in particular in high dimensional and nonlinear settings. Gaussian approximations to the problem, such as ensemble Kalman inversion, tend to be robust, computationally cheap and often produce astonishingly accurate estimations despite the inherently wrong underlying assumptions. Yet there is a lot of room for improvement specifically regarding the description of the associated statistics. The tempered ensemble transform particle filter is an adaptive sequential Monte Carlo method, where resampling is based on optimal transport mapping. Unlike ensemble Kalman inversion it does not require any assumptions regarding the posterior distribution and hence has shown to provide promising results for non-linear non-Gaussian inverse problems. However, the improved accuracy comes with the price of much higher computational complexity and the method is not as robust as the ensemble Kalman inversion in high dimensional problems. In this work, we add an entropy inspired regularisation factor to the underlying optimal transport problem that allows to considerably reduce the high computational cost via Sinkhorn iterations. Further, the robustness of the method is increased via an ensemble Kalman inversion proposal step before each update of the samples, which is also referred to as hybrid approach. The promising performance of the introduced method is numerically verified by testing it on a steady-state single-phase Darcy flow model with two different permeability configurations. The results are compared to the output of ensemble Kalman inversion, and Markov Chain Monte Carlo methods results are computed as a benchmark.