A strongly convergent numerical scheme from Ensemble Kalman inversion

The Ensemble Kalman methodology in an inverse problems setting can be viewed as an iterative scheme, which is a weakly tamed discretization scheme for a certain stochastic differential equation (SDE). Assuming a suitable approximation result, dynamical properties of the SDE can be rigorously pulled back via the discrete scheme to the original Ensemble Kalman inversion. The results of this paper make a step towards closing the gap of the missing approximation result by proving a strong convergence result in a simplified model of a scalar stochastic differential equation. We focus here on a toy model with similar properties than the one arising in the context of Ensemble Kalman filter. The proposed model can be interpreted as a single particle filter for a linear map and thus forms the basis for further analysis. The difficulty in the analysis arises from the formally derived limiting SDE with non-globally Lipschitz continuous nonlinearities both in the drift and in the diffusion. Here the standard Euler-Maruyama scheme might fail to provide a strongly convergent numerical scheme and taming is necessary. In contrast to the strong taming usually used, the method presented here provides a weaker form of taming. We present a strong convergence analysis by first proving convergence on a domain of high probability by using a cut-off or localisation, which then leads, combined with bounds on moments for both the SDE and the numerical scheme, by a bootstrapping argument to strong convergence

Well Posedness and Convergence Analysis of the Ensemble Kalman Inversion

The ensemble Kalman inversion is widely used in practice to estimate unknown parameters from noisy measurement data. Its low computational costs, straightforward implementation, and non-intrusive nature makes the method appealing in various areas of application. We present a complete analysis of the ensemble Kalman inversion with perturbed observations for a fixed ensemble size when applied to linear inverse problems. The well-posedness and convergence results are based on the continuous time scaling limits of the method. The resulting coupled system of stochastic differential equations allows to derive estimates on the long-time behaviour and provides insights into the convergence properties of the ensemble Kalman inversion. We view the method as a derivative free optimization method for the least-squares misfit functional, which opens up the perspective to use the method in various areas of applications such as imaging, groundwater flow problems, biological problems as well as in the context of the training of neural networks

Modeling and inversion of seismic data using multiple scattering, renormalization and homotopy methods

Seismic scattering theory plays an important role in seismic forward modeling and is the theoretical foundation for various seismic imaging methods. Full waveform inversion is a powerful technique for obtaining a high-resolution model of the subsurface. One objective of this thesis is to develop convergent scattering series solutions of the Lippmann-Schwinger equation in strongly scattering media using renormalization and homotopy methods. Other objectives of this thesis are to develop efficient full waveform inversion methods of time-lapse seismic data and, to investigate uncertainty quantification in full waveform inversion for anisotropic elastic media based on integral equation approaches and the iterated extended Kalman filter. The conventional Born scattering series is obtained by expanding the Lippmann-Schwinger equation in terms of an iterative solution based on perturbation theory. Such an expansion assumes weak scattering and may have the problems of convergence in strongly scattering media. This thesis presents two scattering series, referred to as convergent Born series (CBS) and homotopy analysis method (HAM) scattering series for frequency-domain seismic wave modeling. For the convergent Born series, a physical interpretation from the renormalization prospective is given. The homotopy scattering series is derived by using homotopy analysis method, which is based on a convergence control parameter $h$ and a convergence control operator $H$ that one can use to ensure convergence for strongly scattering media. The homotopy scattering scattering series solutions of the Lippmann-Schwinger equation, which is convergent in strongly scattering media. The homotopy scattering series is a kind of unified scattering series theory that includes the conventional and convergent Born series as special cases. The Fast Fourier Transform (FFT) is employed for efficient implementation of matrix-vector multiplication for the convergent Born series and the homotopy scattering series. This thesis presents homotopy methods for ray based seismic modeling in strongly anisotropic media. To overcome several limitations of small perturbations and weak anisotropy in obtaining the traveltime approximations in anisotropic media by expanding the anisotropic eikonal equation in terms of the anisotropic parameters and the elliptically anisotropic eikonal equation based on perturbation theory, this study applies the homotopy analysis method to the eikonal equation. Then this thesis presents a retrieved zero-order deformation equation that creates a map from the anisotropic eikonal equation to a linearized partial differential equation system. The new traveltime approximations are derived by using the linear and nonlinear operators in the retrieved zero-order deformation equation. Flexibility on variable anisotropy parameters is naturally incorporated into the linear differential equations, allowing a medium of arbitrarily anisotropy. This thesis investigates efficient target-oriented inversion strategies for improving full waveform inversion of time-lapse seismic data based on extending the distorted Born iterative T-matrix inverse scattering to a local inversion of a small region of interest (e. g. reservoir under production). The target-oriented approach is more efficient for inverting the monitor data. The target-oriented inversion strategy requires properly specifying the wavefield extrapolation operators in the integral equation formulation. By employing the T-matrix and the Gaussian beam based Green’s function, the wavefield extrapolation for the time-lapse inversion is performed in the baseline model from the survey surface to the target region. I demonstrate the method by presenting numerical examples illustrating the sequential and double difference strategies. To quantify the uncertainty and multiparameter trade-off in the full waveform inversion for anisotropic elastic media, this study applies the iterated extended Kalman filter to anisotropic elastic full waveform inversion based on the integral equation method. The sensitivity matrix is an explicit representation with Green’s functions based on the nonlinear inverse scattering theory. Taking the similarity of sequential strategy between the multi-scale frequency domain full waveform inversion and data assimilation with an iterated extended Kalman filter, this study applies the explicit representation of sensitivity matrix to the the framework of Bayesian inference and then estimate the uncertainties in the full waveform inversion. This thesis gives results of numerical tests with examples for anisotropic elastic media. They show that the proposed Bayesian inversion method can provide reasonable reconstruction results for the elastic coefficients of the stiffness tensor and the framework is suitable for accessing the uncertainties and analysis of parameter trade-offs

On the Incorporation of Box-Constraints for Ensemble Kalman Inversion

The Bayesian approach to inverse problems is widely used in practice to infer unknown parameters from noisy observations. In this framework, the ensemble Kalman inversion has been successfully applied for the quantification of uncertainties in various areas of applications. In recent years, a complete analysis of the method has been developed for linear inverse problems adopting an optimization viewpoint. However, many applications require the incorporation of additional constraints on the parameters, e.g. arising due to physical constraints. We propose a new variant of the ensemble Kalman inversion to include box constraints on the unknown parameters motivated by the theory of projected preconditioned gradient flows. Based on the continuous time limit of the constrained ensemble Kalman inversion, we discuss a complete convergence analysis for linear forward problems. We adopt techniques from filtering which are crucial in order to improve the performance and establish a correct descent, such as variance inflation. These benefits are highlighted through a number of numerical examples on various inverse problems based on partial differential equations

Recent Trends on Nonlinear Filtering for Inverse Problems

Among the class of nonlinear particle filtering methods, the Ensemble Kalman Filter (EnKF) has gained recent attention for its use in solving inverse problems. We review the original method and discuss recent developments in particular in view of the limit for infinitely particles and extensions towards stability analysis and multi--objective optimization. We illustrate the performance of the method by using test inverse problems from the literature