Ensemble Kalman Sampler
EnsembleKalmanProcesses.Sampler
— TypeSampler{FT<:AbstractFloat, T <:SamplerType} <: Process
An ensemble Kalman Sampler process. with type Sampler Type (e.g., ALDI or EKS).
Constructor
Sampler(prior::ParameterDistribution) # ALDI update (samplertype="aldi") Sampler(prior::ParameterDistribution; samplertype = "eks") # EKS update
Fields
prior_mean::Vector{FT} where FT<:AbstractFloat
Mean of Gaussian parameter prior in unconstrained space
prior_cov::Union{LinearAlgebra.UniformScaling{FT}, AbstractMatrix{FT}} where FT<:AbstractFloat
Covariance of Gaussian parameter prior in unconstrained space
Constructors
Sampler(prior)
defined at /home/runner/work/EnsembleKalmanProcesses.jl/EnsembleKalmanProcesses.jl/src/EnsembleKalmanSampler.jl:36
.
EnsembleKalmanProcesses.eks_update
— Functioneks_update(ekp::EnsembleKalmanProcess, u::AbstractArray{FT<:Real, 2}, g::AbstractArray{FT<:Real, 2}, process::Sampler{FT<:Real, EKS}) -> Any
Returns the updated parameter vectors given their current values and the corresponding forward model evaluations, using the sampler algorithm of (Garbuno-Iñigo Hoffmann Li Stuart 2019)
The current implementation assumes that rows of u and g correspond to ensemble members, so it requires passing the transpose of the u
and g
arrays associated with ekp.
eks_update(ekp::EnsembleKalmanProcess, u::AbstractArray{FT<:Real, 2}, g::AbstractArray{FT<:Real, 2}, process::Sampler{FT<:Real, ALDI}) -> Any
Returns the updated parameter vectors given their current values and the corresponding forward model evaluations, using the sampler algorithm of (Garbuno-Iñigo Nüsken Reich 2020)
The current implementation assumes that rows of u and g correspond to ensemble members, so it requires passing the transpose of the u
and g
arrays associated with ekp.