Papers › Hierarchical Ensemble Kalman Methods with Sparsity-Promoting Generalized Gamma Hyperpriors

Hierarchical Ensemble Kalman Methods with Sparsity-Promoting Generalized Gamma Hyperpriors

19 May 2022arXiv:2205.09322links table onlyarchive 2025-07-28

Hwanwoo Kim, Daniel Sanz-Alonso, Alexander Strang

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This paper introduces a computational framework to incorporate flexible regularization techniques in ensemble Kalman methods for nonlinear inverse problems. The proposed methodology approximates the maximum a posteriori (MAP) estimate of a hierarchical Bayesian model characterized by a conditionally Gaussian prior and generalized gamma hyperpriors. Suitable choices of hyperparameters yield sparsity-promoting regularization. We propose an iterative algorithm for MAP estimation, which alternates between updating the unknown with an ensemble Kalman method and updating the hyperparameters in the regularization to promote sparsity. The effectiveness of our methodology is demonstrated in several computed examples, including compressed sensing and subsurface flow inverse problems.

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