Inflation

Inflation is an approach that slows down collapse in ensemble Kalman methods. Two distinct forms of inflation are implemented in this package. Both involve perturbing the ensemble members after the standard update of the chosen Kalman process. Multiplicative inflation expands ensemble members away from their mean in a deterministic manner, whereas additive inflation hinges on the addition of stochastic noise to ensemble members.

For both implementations, a scaling factor $s$ is included to extend functionality to cases with mini-batching. The scaling factor $s$ multiplies the artificial time step $\Delta t$ in the inflation equations to account for sampling error. For mini-batching, the scaling factor should be:

\[ s = \frac{|B|}{|C|}\]

where $|B|$ is the mini-batch size and $|C|$ is the full dataset size.

Separately, when the process imposes the prior (impose_prior = true, e.g. Inversion(prior)), a small automatic multiplicative inflation default_multiplicative_inflation = 1e-3 is applied at every update, independent of the flags described on this page.

Multiplicative Inflation

Multiplicative inflation effectively scales parameter vectors in parameter space, such that the perturbed ensemble remains in the linear span of the original ensemble. The implemented update equation follows eqn. 41 of (Huang et al., 2022):

\[\begin{aligned} m_{n+1} = m_{n} ; \qquad u^{j}_{n + 1} = m_{n+1} + \sqrt{\frac{1}{1 - s \Delta{t}}} \left(u^{j}_{n} - m_{n} \right) \qquad (1) \end{aligned}\]

where $m$ is the ensemble average. In this way, the parameter covariance is inflated by a factor of $\frac{1}{1 - s \Delta{t}}$, while the ensemble mean remains fixed.

\[ C_{n + 1} = \frac{1}{1 - s \Delta{t}} C_{n} \qquad (2)\]

Multiplicative inflation can be used by flagging the update_ensemble! method as follows:

    EKP.update_ensemble!(ekiobj, g_ens; multiplicative_inflation = true, s = 1.0)

Additive Inflation

Additive inflation is implemented by systematically adding stochastic perturbations to the parameter ensemble in the form of Gaussian noise. Additive inflation is capable of breaking the linear subspace property, meaning the parameter ensemble can evolve outside of the span of the current ensemble. In additive inflation, the ensemble is perturbed in the following manner after the standard Kalman update:

\[ u_{n+1} = u_n + \zeta_{n} \qquad (3) \\ \zeta_{n} \sim N(0, \frac{s \Delta{t} }{1 - s \Delta{t}} \Sigma) \qquad (4)\]

This can be seen as a stochastic modification of the ensemble covariance, while the mean remains fixed

\[ C_{n + 1} = C_{n} + \frac{s \Delta{t} }{1 - s \Delta{t}} \Sigma \qquad (5)\]

For example, if $\Sigma = C_{n}$ we see inflation that is statistically equivalent to scaling the parameter covariance by a factor of $\frac{1}{1 - s \Delta{t}}$ as in eqn. 2.

Additive inflation, by default takes $\Sigma = C_0$ (the prior covariance), and can be used by flagging the update_ensemble! method as follows:

    EKP.update_ensemble!(ekiobj, g_ens; additive_inflation = true, s = 1.0)

Any positive semi-definite matrix (or uniform scaling) $\Sigma$ may be provided to generate additive noise to the ensemble by flagging the update_ensemble! method as follows:

    Σ = 0.01*I # user defined inflation
    EKP.update_ensemble!(ekiobj, g_ens; additive_inflation = true, additive_inflation_cov = Σ, s = 1.0)