Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise

DOI10.1137/17M1119056zbMATH Open1391.93265arXiv1612.06065MaRDI QIDQ3176261FDOQ3176261

Authors: Jana de Wiljes, Wilhelm Stannat, Sebastian Reich 

Publication date: 19 July 2018

Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Abstract: The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble Kalman-Bucy filter applied to continuous-time filtering problems. We derive mean field limiting equations as the ensemble size goes to infinity as well as uniform-in-time accuracy and stability results for finite ensemble sizes. The later results require that the process is fully observed and that the measurement noise is small. We also demonstrate that our ensemble Kalman-Bucy filter is consistent with the classic Kalman-Bucy filter for linear systems and Gaussian processes. We finally verify our theoretical findings for the Lorenz-63 system.

Full work available at URL: https://arxiv.org/abs/1612.06065

Recommendations

• On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
• Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations
• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• On the continuous time limit of the ensemble Kalman filter
• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time

zbMATH Keywords

data assimilationstabilityasymptotic behaviorKalman-Bucy filteraccuracyensemble Kalman filter

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Stochastic processes and filtering theory
• Filtering complex turbulent systems.
• Deterministic Nonperiodic Flow
• Title not available (Why is that?)
• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
• Data Assimilation
• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• Fundamentals of stochastic filtering
• Mean field simulation for Monte Carlo integration
• On Smooth Decompositions of Matrices
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• A dynamical systems framework for intermittent data assimilation
• Large sample asymptotics for the ensemble Kalman filter
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Nonlinear stability and ergodicity of ensemble based Kalman filters
• Data Assimilation
• On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
• Performance analysis of local ensemble Kalman filter
• Convergence of the square root ensemble Kalman filter in the large ensemble limit
• Probabilistic Forecasting and Bayesian Data Assimilation
• Ensemble data assimilation for hyperbolic systems

Cited In (39)

• Well posedness and convergence analysis of the ensemble Kalman inversion
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• When long memory meets the Kalman filter: a comparative study
• Data assimilation: the Schrödinger perspective
• A perturbation analysis of stochastic matrix Riccati diffusions
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Bayesian spatiotemporal modeling for inverse problems
• Transform-based particle filtering for elliptic Bayesian inverse problems
• A strongly convergent numerical scheme from ensemble Kalman inversion
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations
• Ensemble Kalman sampler: mean-field limit and convergence analysis
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
• On the asymptotical regularization for linear inverse problems in presence of white noise
• Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
• Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis
• Convergence analysis of ensemble Kalman inversion: the linear, noisy case
• On the continuous time limit of the ensemble Kalman filter
• On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
• Adaptive regularisation for ensemble Kalman inversion
• The mean-field ensemble Kalman filter: near-Gaussian setting
• A unified framework for the analysis of accuracy and stability of a class of approximate Gaussian filters for the Navier-Stokes equations
• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
• Diffusion map-based algorithm for gain function approximation in the feedback particle filter
• Analysis of the feedback particle filter with diffusion map based approximation of the gain
• Mean field limit of ensemble square root filters -- discrete and continuous time
• Complete Deterministic Dynamics and Spectral Decomposition of the Linear Ensemble Kalman Inversion
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Uniform error bounds of the ensemble transform Kalman filter for chaotic dynamics with multiplicative covariance inflation
• Multilevel ensemble Kalman-Bucy filters
• Uncertainty quantification of nonlinear Lagrangian data assimilation using linear stochastic forecast models
• On Stability of a Class of Filters for Nonlinear Stochastic Systems
• Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
• Discrete gradients for computational Bayesian inference
• On one-dimensional Riccati diffusions
• Scaling Up Bayesian Uncertainty Quantification for Inverse Problems Using Deep Neural Networks
• Analysis of the ensemble Kalman-Bucy filter for correlated observation noise

Uses Software

• EnKF

This page was built for publication: Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3176261)