Filtering with state space localized Kalman gain

DOI10.1016/J.PHYSD.2012.03.006MaRDI QIDQ441803zbMATH OpenOpenAlexFDO

Authors Andreas S. Stordal, Geir Nævdal, Dean S. Oliver, Hans A. Karlsen, Hans J. Skaug

Publication date 8 August 2012

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2012.03.006

zbMATH Keywords

ensemble Kalman filterGaussian mixture filterslocal correlationslocal likelihoodnonlinear filteringparticle filters

Mathematics Subject Classification ID

Density estimation (62G07) Inference from stochastic processes and prediction (62M20)

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Cites work

• Approximate importance sampling Monte Carlo for data assimilation
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• Distributed parameter and state estimation in petroleum reservoirs
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• Improving the ensemble estimate of the Kalman gain by bootstrap sampling
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• Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
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• Sequential Monte Carlo Methods in Practice

Cited in

(12)

• Distributed Gauss-Newton optimization method for history matching problems with multiple best matches
• A residual-driven adaptive Gaussian mixture approximation for Bayesian inverse problems
• Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix
• Spatial localization for nonlinear dynamical stochastic models for excitable media
• A bimodality trap in model projections
• Coupling techniques for nonlinear ensemble filtering
• Localization in high-dimensional Monte Carlo filtering
• Using low-rank ensemble Kalman filters for data assimilation with high dimensional imperfect models
• An iterative version of the adaptive Gaussian mixture filter
• Can local particle filters beat the curse of dimensionality?
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Iterative Bayesian inversion with Gaussian mixtures: finite sample implementation and large sample asymptotics

Describes a project that uses

Uses Software

• EnKF

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