Performance analysis of local ensemble Kalman filter

DOI10.1007/S00332-018-9453-2zbMath1394.60038arXiv1705.10598OpenAlexW3101599825WikidataQ130142375 ScholiaQ130142375MaRDI QIDQ1668684

Xin Thomson Tong

Publication date: 29 August 2018

Published in: Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.10598

zbMATH Keywords

ensemble Kalman filterlocalization techniquehigh dimensional problem

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (11)

Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise ⋮ Convergence acceleration of ensemble Kalman inversion in nonlinear settings ⋮ Multilevel Ensemble Kalman–Bucy Filters ⋮ Tikhonov Regularization within Ensemble Kalman Inversion ⋮ Accelerating Metropolis-within-Gibbs sampler with localized computations of differential equations ⋮ Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations ⋮ Spatial localization for nonlinear dynamical stochastic models for excitable media ⋮ The mean-field ensemble Kalman filter: near-Gaussian setting ⋮ Well posedness and convergence analysis of the ensemble Kalman inversion ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models

Uses Software

• Unnamed Item

Cites Work

• Unnamed Item
• Can local particle filters beat the curse of dimensionality?
• Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
• On the convergence of the ensemble Kalman filter.
• Hanson-Wright inequality and sub-Gaussian concentration
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Perturbations and projections of Kalman-Bucy semigroups
• Efficient data assimilation for spatiotemporal chaos: a local ensemble transform Kalman filter
• Regularized estimation of large covariance matrices
• Nonlinear stability and ergodicity of ensemble based Kalman filters
• Long-Time Asymptotics of the Filtering Distribution for Partially Observed Chaotic Dynamical Systems
• Deterministic Mean-Field Ensemble Kalman Filtering
• Multilevel ensemble Kalman filtering
• Approximating the Inverse of Banded Matrices by Banded Matrices with Applications to Probability and Statistics
• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
• Convergence of the Square Root Ensemble Kalman Filter in the Large Ensemble Limit
• Performance of Ensemble Kalman Filters in Large Dimensions
• State estimation and prediction using clustered particle filters
• Filtering Complex Turbulent Systems

This page was built for publication: Performance analysis of local ensemble Kalman filter