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Timestep for EKI #56

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odunbar opened this issue Jun 25, 2020 · 0 comments
Closed

Timestep for EKI #56

odunbar opened this issue Jun 25, 2020 · 0 comments
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odunbar commented Jun 25, 2020

CalibrateEmulateSample.jl/src/EKI.jl

Line 126 in 5fb71c2

noise = rand(MvNormal(zeros(size(g)[2]), eki.cov), eki.N_ens) # N_data * N_ens

To aid in preventing the collapse of the ensemble, we should introduce a timestep into the EKI. This should inflate the noise term (reference) and be either user specified or can be adaptively chosen via a simple scheme.

(Note choosing the step automatically will involve evaluating the forward model, the user should be aware of this if the forward model is expensive)
@ilopezgp ilopezgp mentioned this issue Jun 26, 2020
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bors bot added a commit that referenced this issue Jun 26, 2020
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Merge #60
63ea9e1 
60: Add timestep for EKI, and timestep finder function. r=bielim a=ilopezgp

Added timestep for EKI and a function to find the EKI step based on the reduction of the ensemble covariance determinant after one stage of EKI.

An additional warning message has also been implemented to the EKI update in the case of rapid collapse of the ensemble.

This PR fixes issue #56

Co-authored-by: Ignacio <ilopezgo@caltech.edu>
@bielim bielim closed this as completed Jun 28, 2020
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@bielim @ilopezgp @odunbar