On the continuous time limit of ensemble square root filters

DOI10.4310/CMS.2021.V19.N7.A5MaRDI QIDQ2057049zbMATH OpenOpenAlexFDO

Authors Theresa Lange, Wilhelm Stannat

Publication date 8 December 2021

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.12493

zbMATH Keywords

continuous time limitdeterministic model perturbationsensemble square root filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Abstract: We provide a continuous time limit analysis for the class of Ensemble Square Root Filter algorithms with deterministic model perturbations. In the particular linear case, we specify general conditions on the model perturbations implying convergence of the empirical mean and covariance matrix towards their respective counterparts of the Kalman-Bucy Filter. As a second main result we identify additional assumptions for the convergence of the whole ensemble towards solutions of the Ensemble Kalman-Bucy filtering equations introduced in [1]. The latter result can be generalized to nonlinear Lipschitz-continuous model operators. A striking implication of our results is the fact that the limiting equations for the ensemble members are universal for a large class of Ensemble Square Root Filters. This yields a mathematically rigorous justification for the analysis of these algorithms with the help of the Ensemble Kalman-Bucy Filter. [1] de Wiljes, Jana, Reich, Sebastian, Stannat, Wilhelm, Long-Time Stability and Accuracy of the Ensemble Kalman-Bucy Filter for Fully Observed Processes and Small Measurement Noise. SIAM Journal on Applied Dynamical Systems, Vol. 17, No. 2, 1152-1181, 2018

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(10)

• Mean field limit of ensemble square root filters -- discrete and continuous time
• Analysis of the feedback particle filter with diffusion map based approximation of the gain
• Convergence of the square root ensemble Kalman filter in the large ensemble limit
• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• Convergence acceleration of ensemble Kalman inversion in nonlinear settings
• Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters
• Ensemble Kalman methods: a mean-field perspective
• Unbiased ensemble square root filters

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