Affine-mapping based variational ensemble Kalman filter

DOI10.1007/S11222-022-10156-5zbMATH Open1499.62039arXiv2103.06315OpenAlexW4306784204MaRDI QIDQ2103971FDOQ2103971

Linjie Wen, Jinglai Li

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We propose an affine-mapping based variational Ensemble Kalman filter for sequential Bayesian filtering problems with generic observation models. Specifically, the proposed method is formulated as to construct an affine mapping from the prior ensemble to the posterior one, and the affine mapping is computed via a variational Bayesian formulation, i.e., by minimizing the Kullback-Leibler divergence between the transformed distribution through the affine mapping and the actual posterior. Some theoretical properties of resulting optimization problem are studied and a gradient descent scheme is proposed to solve the resulting optimization problem. With numerical examples we demonstrate that the method has competitive performance against existing methods.

Full work available at URL: https://arxiv.org/abs/2103.06315

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zbMATH Keywords

data assimilationKullback-Leibler divergenceensemble Kalman filtersaffine-mappingsequential Bayesian filtering

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Uses Software

• EnKF

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