Direct and Inverse Problems for PDEs with Random Coefficients - Abstract
Schillings, Claudia
The Ensemble Kalman filter (EnKF) has had enormous impact on the applied sciences since its introduction in the 1990s by Evensen and coworkers. In this talk, we will discuss an analysis of the EnKF based on the continuous time scaling limits, which allows to study the properties of the EnKF for fixed ensemble size. The theoretical considerations give useful insights into properties of the method and provide tools for a systematic development and improvement. Results from various numerical experiments supporting the theoretical findings will be presented. This is joint work with Andrew M. Stuart (University of Warwick) and part of the EPSRC-funded project EQUIP.