On the convergence of a non-linear ensemble Kalman smoother

DOI10.1016/J.APNUM.2018.11.008zbMATH Open1409.93066arXiv1411.4608OpenAlexW2244214810MaRDI QIDQ1728337FDOQ1728337

Authors: El Houcine Bergou, Jan Mandel, Serge Gratton 

Publication date: 22 February 2019

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Abstract: Ensemble methods, such as the ensemble Kalman filter (EnKF), the local ensemble transform Kalman filter (LETKF), and the ensemble Kalman smoother (EnKS) are widely used in sequential data assimilation, where state vectors are of huge dimension. Little is known, however, about the asymptotic behavior of ensemble methods. In this paper, we prove convergence in L^p of ensemble Kalman smoother to the Kalman smoother in the large-ensemble limit, as well as the convergence of EnKS-4DVAR, which is a Levenberg-Marquardt-like algorithm with EnKS as the linear solver, to the classical Levenberg-Marquardt algorithm in which the linearized problem is solved exactly.

Full work available at URL: https://arxiv.org/abs/1411.4608

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zbMATH Keywords

least squaresLevenberg-Marquardt method\(L^p\) convergenceensemble Kalman filter/smootherKalman filter/smoother

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Cites Work

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Cited In (14)

• A langevinized ensemble Kalman filter for large-scale dynamic learning
• Exploring EnKF convergence for linear dynamical system
• A Stochastic Approximation-Langevinized Ensemble Kalman Filter Algorithm for State Space Models with Unknown Parameters
• Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
• Ensemble Kalman sampler: mean-field limit and convergence analysis
• On the convergence of the ensemble Kalman filter.
• An iterative ensemble Kalman smoother in presence of additive model error
• Analysis of the ensemble Kalman filter for inverse problems
• An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization
• Large sample asymptotics for the ensemble Kalman filter
• Iterative ensemble Kalman methods: a unified perspective with some new variants
• Non-asymptotic analysis of ensemble Kalman updates: effective dimension and localization
• Ensemble Kalman filtering for non-linear likelihood models using kernel-shrinkage regression techniques
• An extended Langevinized ensemble Kalman filter for non-Gaussian dynamic systems

Uses Software

• EnKF

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