Title: A strongly convergent numerical scheme from Ensemble Kalman inversion,
Abstract: The Ensemble Kalman methodology in an inverse problems setting can be viewed
as an iterative scheme, which is a weakly tamed discretization scheme for a
certain stochastic differential equation (SDE). Assuming a suitable
approximation result, dynamical properties of the SDE can be rigorously pulled
back via the discrete scheme to the original Ensemble Kalman inversion.
The results of this paper make a step towards closing the gap of the missing
approximation result by proving a strong convergence result in a simplified
model of a scalar stochastic differential equation. We focus here on a toy
model with similar properties than the one arising in the context of Ensemble
Kalman filter. The proposed model can be interpreted as a single particle
filter for a linear map and thus forms the basis for further analysis. The
difficulty in the analysis arises from the formally derived limiting SDE with
non-globally Lipschitz continuous nonlinearities both in the drift and in the
diffusion. Here the standard Euler-Maruyama scheme might fail to provide a
strongly convergent numerical scheme and taming is necessary. In contrast to
the strong taming usually used, the method presented here provides a weaker
form of taming.
We present a strong convergence analysis by first proving convergence on a
domain of high probability by using a cut-off or localisation, which then
leads, combined with bounds on moments for both the SDE and the numerical
scheme, by a bootstrapping argument to strong convergence.