On the continuous time limit of the ensemble Kalman filter

DOI10.1090/MCOM/3588zbMATH Open1458.60082arXiv1901.05204OpenAlexW2910711182MaRDI QIDQ5131002FDOQ5131002

Authors: Theresa Lange, Wilhelm Stannat 

Publication date: 31 October 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Abstract: We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by [1] as well as a recent variant [2] to the respective discretizations and show that in the limit of decreasing stepsize the filter equations converge to an ensemble of interacting (stochastic) differential equations in the ensemble-mean-square sense. Our analysis also allows for the derivation of convergence rates with respect to the stepsize. An application of our analysis is the rigorous derivation of continuous ensemble filtering algorithms consistent with discrete approximation schemes. Conversely, the continuous time limit allows for a better qualitative and quantitative analysis of the time-discrete counterparts using the rich theory of dynamical systems in continuous time. [1] Burgers, G., van Leeuwen, P. J., Evensen, G. (1998). Analysis scheme in the ensemble Kalman filter. Monthly weather review, 126(6), 1719-1724. [2] de Wiljes, J., Reich, S., Stannat, W. (2018). Long-Time Stability and Accuracy of the Ensemble Kalman-Bucy Filter for Fully Observed Processes and Small Measurement Noise. SIAM Journal on Applied Dynamical Systems, 17(2), 1152-1181.

Full work available at URL: https://arxiv.org/abs/1901.05204

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zbMATH Keywords

ensemble Kalman filtercontinuous time limit

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Limit theorems in probability theory (60F99) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited In (24)

• Convergence acceleration of ensemble Kalman inversion in nonlinear settings
• Continuous limits for constrained ensemble Kalman filter
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• Continuous‐time Kalman filtering on the orthogonal group O(n)
• Exploring EnKF convergence for linear dynamical system
• Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters
• Ensemble Kalman inversion: mean-field limit and convergence analysis
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Continuous formulations of the ensemble Kalman filter
• 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
• On the continuous time limit of ensemble square root filters
• The mean-field ensemble Kalman filter: near-Gaussian setting
• Derivation of ensemble Kalman-Bucy filters with unbounded nonlinear coefficients
• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
• Comment on ``Ensemble Kalman filter with the unscented transform
• 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
• Deterministic mean-field ensemble Kalman filtering
• Multilevel ensemble Kalman-Bucy filters
• Reply to: ``Comment on: `ensemble Kalman filter with the unscented transform
• Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022

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