Inverse problems and data assimilation

Author(s)

    • Sanz-Alonso, Daniel
    • Stuart, Andrew
    • Taeb, Armeen

Bibliographic Information

Inverse problems and data assimilation

Daniel Sanz-Alonso, Andrew Stuart, Armeen Taeb

(London Mathematical Society student texts, 107)

Cambridge University Press, 2023

  • : paperback

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Note

Includes bibliographical references (p. 192-204) and index

Description and Table of Contents

Description

This concise introduction provides an entry point to the world of inverse problems and data assimilation for advanced undergraduates and beginning graduate students in the mathematical sciences. It will also appeal to researchers in science and engineering who are interested in the systematic underpinnings of methodologies widely used in their disciplines. The authors examine inverse problems and data assimilation in turn, before exploring the use of data assimilation methods to solve generic inverse problems by introducing an artificial algorithmic time. Topics covered include maximum a posteriori estimation, (stochastic) gradient descent, variational Bayes, Monte Carlo, importance sampling and Markov chain Monte Carlo for inverse problems; and 3DVAR, 4DVAR, extended and ensemble Kalman filters, and particle filters for data assimilation. The book contains a wealth of examples and exercises, and can be used to accompany courses as well as for self-study.

Table of Contents

  • Introduction
  • Part I. Inverse Problems: 1. Bayesian inverse problems and well-posedness
  • 2. The linear-Gaussian setting
  • 3. Optimization perspective
  • 4. Gaussian approximation
  • 5. Monte Carlo sampling and importance sampling
  • 6. Markov chain Monte Carlo
  • Exercises for Part I
  • Part II. Data Assimilation: 7. Filtering and smoothing problems and well-posedness
  • 8. The Kalman filter and smoother
  • 9. Optimization for filtering and smoothing: 3DVAR and 4DVAR
  • 10. The extended and ensemble Kalman filters
  • 11. Particle filter
  • 12. Optimal particle filter
  • Exercises for Part II
  • Part III. Kalman Inversion: 13. Blending inverse problems and data assimilation
  • References
  • Index.

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