Degenerate Kalman filter error covariances and their convergence onto the unstable subspace

DOI10.1137/16M1068712zbMATH Open1365.93497arXiv1604.02578OpenAlexW3106129013WikidataQ57764199 ScholiaQ57764199MaRDI QIDQ5269865FDOQ5269865

Authors: M. Bocquet, Karthik S. Gurumoorthy, Amit Apte, Alberto Carrassi, Christopher K. R. T. Jones, Colin J. Grudzien 

Publication date: 28 June 2017

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: The characteristics of the model dynamics are critical in the performance of (ensemble) Kalman filters. In particular, as emphasized in the seminal work of Anna Trevisan and co-authors, the error covariance matrix is asymptotically supported by the unstable-neutral subspace only, i.e., it is spanned by the backward Lyapunov vectors with non-negative exponents. This behavior is at the core of algorithms known as Assimilation in the Unstable Subspace, although a formal proof was still missing. This paper provides the analytical proof of the convergence of the Kalman filter covariance matrix onto the unstable-neutral subspace when the dynamics and the observation operator are linear and when the dynamical model is error-free, for any, possibly rank-deficient, initial error covariance matrix. The rate of convergence is provided as well. The derivation is based on an expression that explicitly relates the error covariances at an arbitrary time to the initial ones. It is also shown that if the unstable and neutral directions of the model are sufficiently observed and if the column space of the initial covariance matrix has a non-zero projection onto all of the forward Lyapunov vectors associated with the unstable and neutral directions of the dynamics, the covariance matrix of the Kalman filter collapses onto an asymptotic sequence which is independent of the initial covariances. Numerical results are also shown to illustrate and support the theoretical findings.

Full work available at URL: https://arxiv.org/abs/1604.02578

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zbMATH Keywords

Kalman filterdata assimilationcovariance matrixcontrol theorylinear dynamicsLyapunov vectors

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Observability (93B07) Linear systems in control theory (93C05) Vector spaces, linear dependence, rank, lineability (15A03)

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Cited In (11)

• Asymptotic behavior of the forecast-assimilation process with unstable dynamics
• Strong detectability and observers for linear time-varying systems
• Detectability Conditions and State Estimation for Linear Time-Varying and Nonlinear Systems
• Two-error covariance analysis algorithms for suboptimal decentralized Kalman filters
• Asymptotic Forecast Uncertainty and the Unstable Subspace in the Presence of Additive Model Error
• Mathematical foundations of hybrid data assimilation from a synchronization perspective
• Online learning of both state and dynamics using ensemble Kalman filters
• Stability of non-linear filter for deterministic dynamics
• Title not available (Why is that?)
• Asymptotic properties of linear filter for deterministic processes
• Accurate deep learning-based filtering for chaotic dynamics by identifying instabilities without an ensemble

Uses Software

• EnKF

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