Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems
Analysis of the Ensemble and Polynomial Chaos Kalman Filters in Bayesian Inverse Problems
We analyze the ensemble and polynomial chaos Kalman filters applied to nonlinear stationary Bayesian inverse problems. In a sequential data assimilation setting, such stationary problems arise in each step of either filter. We give a new interpretation of the approximations produced by these two popular filters in the Bayesian context …