Deterministic Mean-Field Ensemble Kalman Filtering

DOI10.1137/140984415zbMath1351.60047arXiv1409.0628OpenAlexW2141918307WikidataQ69037604 ScholiaQ69037604MaRDI QIDQ2805009

Raúl Tempone, Hamidou Tembine, Kody J. H. Law

Publication date: 9 May 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.0628

zbMATH Keywords

Kalman filteringrandom measuresmean field limittotal variation metricGaussian bias term

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Probabilistic models, generic numerical methods in probability and statistics (65C20) Discrete-time Markov processes on general state spaces (60J05) Signal detection and filtering (aspects of stochastic processes) (60G35) Random measures (60G57) Stochastic particle methods (65C35)

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