Iterative ensemble smoothers in the annealed importance sampling framework

Andreas S. Stordal, Ahmed H. Elsheikh

Research output: Contribution to journalArticle

28 Citations (Scopus)

Abstract

Iterative ensemble techniques for solving inverse problems has recently gained a lot of interest in many geophysical communities. This popularity is attributed to the simplicity of implementation, general reliability and the ability to deal with the forward model as a black box without requiring the implementation of analytical gradients. Although several variants exist, we focus on the ensemble smoother with multiple data assimilation. This study highlights the similarity between the ensemble smoother and other existing techniques such as particle flow and annealed importance sampling. It is shown how a sequential Monte Carlo sampler can be used in combination with an annealing process to weight-correct the sampling procedure used in the ensemble smoother. Two different approximations in high dimensions, where the curse of dimensionality is unavoidable, are also presented. The methods proposed are compared with an MCMC run on a synthetic reservoir model.
Original languageEnglish
Pages (from-to)231-239
Number of pages9
JournalAdvances in Water Resources
Volume86
Issue numberPart A
Early online date19 Oct 2015
DOIs
Publication statusPublished - Dec 2015

Keywords

  • Annealed importance sampling
  • Data assimilation
  • Iterative ensemble methods

ASJC Scopus subject areas

  • Water Science and Technology

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