Ensemble Kalman Inversion

EnsembleKalmanProcesses.Inversion — Type

Inversion <: Process

An ensemble Kalman Inversion process

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EnsembleKalmanProcesses.eki_update — Function

 eki_update(
    ekp::EnsembleKalmanProcess{FT, IT, Inversion},
    u::AbstractMatrix{FT},
    g::AbstractMatrix{FT},
    y::AbstractMatrix{FT},
    obs_noise_cov::Union{AbstractMatrix{CT}, UniformScaling{CT}},
) where {FT <: Real, IT, CT <: Real}

Returns the updated parameter vectors given their current values and the corresponding forward model evaluations, using the inversion algorithm from eqns. (4) and (5) of Schillings and Stuart (2017).

Localization is implemented following the ekp.localizer.

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