Adaptive error covariances estimation methods for ensemble Kalman filters

DOI10.1016/J.JCP.2015.03.061zbMATH Open1349.62333arXiv1411.1308OpenAlexW2040614019MaRDI QIDQ350039FDOQ350039

Authors: Yicun Zhen, John Harlim 

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: This paper presents a computationally fast algorithm for estimating, both, the system and observation noise covariances of nonlinear dynamics, that can be used in an ensemble Kalman filtering framework. The new method is a modification of Belanger's recursive method, to avoid an expensive computational cost in inverting error covariance matrices of product of innovation processes of different lags when the number of observations becomes large. When we use only product of innovation processes up to one-lag, the computational cost is indeed comparable to a recently proposed method by Berry-Sauer's. However, our method is more flexible since it allows for using information from product of innovation processes of more than one-lag. Extensive numerical comparisons between the proposed method and both the original Belanger's and Berry-Sauer's schemes are shown in various examples, ranging from low-dimensional linear and nonlinear systems of SDE's and 40-dimensional stochastically forced Lorenz-96 model. Our numerical results suggest that the proposed scheme is as accurate as the original Belanger's scheme on low-dimensional problems and has a wider range of more accurate estimates compared to Berry-Sauer's method on L-96 example.

Full work available at URL: https://arxiv.org/abs/1411.1308

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zbMATH Keywords

ensemble Kalman filteradaptive covariance estimationQR estimation method

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Approaches to adaptive filtering

Cited In (6)

• A state estimation approach based on stochastic expansions
• Sampling error distribution for the ensemble Kalman filter update step
• An ensemble forecast method based on observational errors
• Adaptive ensemble Kalman filter with recursive noise estimation
• Semiparametric modeling: correcting low-dimensional model error in parametric models
• Model error estimation using the expectation maximization algorithm and a particle flow filter

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