Parameter Estimation for PDEs using Stochastic Methods

The aim of this book is to compare the efficiency of different algorithms on estimating parameters that arise in partial differential equations: Kalman Filters (Ensemble Kalman Filter Stochastic Collocation Kalman Filter Karhunen-Lo`eve Ensemble Kalman Filter Karhunen- Lo`eve Stochastic Collocation Kalman Filter) Markov-Chain Monte Carlo sampling schemes and Adjoint variable-based method. We also present the theoretical results for stochastic optimal control for problems constrained by partial differential equations with random input data in a mixed finite element form. We verify experimentally with numerical simulations using Adjoint variable-based method with various identification objectives that either minimize the expectation of a tracking cost functional or minimize the difference of desired statistical quantities in the appropriate Lp norm.