On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters

DOI10.1137/16M1087497zbMath1356.60065arXiv1606.08256OpenAlexW2964170546MaRDI QIDQ2957559

Julian Tugaut, Aline Kurtzmann, Pierre Del Moral

Publication date: 26 January 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08256

zbMATH Keywords

Monte Carlo methodsuniform estimatespropagation of chaosextended Kalman-Bucy filterensemble Kalman filtersmean field particle systemsstochastic Riccati matrix equation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Prediction theory (aspects of stochastic processes) (60G25) Fokker-Planck equations (35Q84)

Related Items (23)

Coupling Techniques for Nonlinear Ensemble Filtering ⋮ Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise ⋮ Perturbations and projections of Kalman-Bucy semigroups ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ Multilevel Ensemble Kalman–Bucy Filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters ⋮ Coupled quantum harmonic oscillators and Feynman-Kac path integrals for linear diffusive particles ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler ⋮ On the Stability of Kalman--Bucy Diffusion Processes ⋮ Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation ⋮ Diffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle Filter ⋮ On Stability of a Class of Filters for Nonlinear Stochastic Systems ⋮ On the stability and the concentration of extended Kalman-Bucy filters ⋮ Multilevel ensemble Kalman filtering for spatio-temporal processes ⋮ On the stability of matrix-valued Riccati diffusions ⋮ On bounding the Thompson metric by Schatten norms ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation ⋮ Derivation of ensemble Kalman–Bucy filters with unbounded nonlinear coefficients

Uses Software

• EnKF

Cites Work

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