Ensemble Kalman Inversion
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Ensemble Kalman Inversion as an Inertial Interacting Particle System
arXiv:2606.06121v1 Announce Type: new Abstract: Ensemble Kalman Inversion (EKI) is a derivative-free, ensemble-based method for inverse and optimization problems. Its continuous-time formulation can be interpreted as an interacting particle system driven by a Kalman-type preconditioned descent direction. A well-known limitation of this dynamics is the possible premature collapse of the covariance of the ensemble, which makes the method sensitive to the initial ensemble.