Affine-mapping based variational ensemble Kalman filter

DOI10.1007/S11222-022-10156-5MaRDI QIDQ2103971zbMATH OpenOpenAlexFDO

Authors Linjie Wen, Jinglai Li

Publication date 9 December 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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• Variational ensemble Kalman filtering using limited memory BFGS

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• EnKF

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