Nonlinear Bayesian Update via Ensemble Kernel Regression with Clustering and Subsampling

Yoonsang Lee

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arXiv · 2503.15160

Nonlinear Bayesian Update via Ensemble Kernel Regression with Clustering and Subsampling

Yoonsang Lee

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Abstract

Nonlinear Bayesian update for a prior ensemble is proposed to extend traditional ensemble Kalman filtering to settings characterized by non-Gaussian priors and nonlinear measurement operators. In this framework, the observed component is first denoised via a standard Kalman update, while the unobserved component is estimated using a nonlinear regression approach based on kernel density estimation. The method incorporates a subsampling strategy to ensure stability and, when necessary, employs unsupervised clustering to refine the conditional estimate. Numerical experiments on Lorenz systems and a PDE-constrained inverse problem illustrate that the proposed nonlinear update can reduce estimation errors compared to standard linear updates, especially in highly nonlinear scenarios.

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Yoonsang Lee. 2025-03-19. Nonlinear Bayesian Update via Ensemble Kernel Regression with Clustering and Subsampling. https://arxiv.org/abs/2503.15160

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