1. HIERARCHICAL ENSEMBLE KALMAN METHODS WITH SPARSITY-PROMOTING GENERALIZED GAMMA HYPERPRIORS.
- Author
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HWANWOO KIM, SANZ-ALONSO, DANIEL, and STRANG, ALEXANDER
- Subjects
ITERATIVE methods (Mathematics) ,MATHEMATICAL regularization ,KALMAN filtering ,BAYESIAN analysis ,INVERSE problems - Abstract
This paper introduces a computational framework to incorporate exible regularization techniques in ensemble Kalman methods, generalizing the iterative alternating scheme to nonlinear inverse problems. The proposed methodology approximates the maximum a posteriori (MAP) estimate of a hierarchical Bayesian model characterized by a conditionally Gaussian prior and generalized gamma hyperpriors. Suitable choices of hyperparameters yield sparsity-promoting regularization. We propose an iterative algorithm for MAP estimation, which alternates between updating the unknown with an ensemble Kalman method and updating the hyperparameters in the regularization to promote sparsity. The effectiveness of our methodology is demonstrated in several computed examples, including compressed sensing and subsurface ow inverse problems. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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