Journal
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM 2012), VOLS A AND B
Volume 1479, Issue -, Pages 1247-1250Publisher
AMER INST PHYSICS
DOI: 10.1063/1.4756379
Keywords
Ensemble Kalman Filter; Cross-Validation; Regularization
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In this work, the classical leave-one-out cross-validation method for selecting a regularization parameter for the Tikhonov problem is implemented within the EnKF framework. Following the original concept, the regularization parameter is selected such that it minimizes the predictive error. Some ideas about the implementation, suitability and conceptual interest of the method are discussed. Finally, what will be called the data cross-validation regularized EnKF (dCVr-EnKF) is implemented in a 2D 2-phase synthetic oil reservoir experiment and the results analyzed.
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