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CliMA / EnsembleKalmanProcesses.jl

Implements Optimization and approximate uncertainty quantification algorithms, Ensemble Kalman Inversion, and Ensemble Kalman Processes.
https://clima.github.io/EnsembleKalmanProcesses.jl/dev
Apache License 2.0
80 stars 18 forks source link

GalacticOptim.jl #97

Open bischtob opened 2 years ago

bischtob commented 2 years ago

Can we hook EKP.jl into that project? We could then calibrate using DiffEqFlux.jl.

eviatarbach commented 1 year ago

Currently EKI can only minimize nonlinear least squares problems, i.e.,

$\min_\theta \|\mathcal{G}(\theta) - y\|^2$

so it couldn't be added to a general-purpose optimization package.

However, one way to transform the nonlinear least squares problem into a general one would be to take $\mathcal{G}(\theta)\to\exp{\mathcal{G}(\theta)}$ and $y\to 0$. I don't know how well this would work but might be worth trying.