Rank deficiency of Kalman error covariance matrices in linear time-varying system with deterministic evolution

DOI10.1137/15M1025839MaRDI QIDQ5347539zbMATH OpenOpenAlexFDO

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

Publication date 24 May 2017

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

Full work available at URL https://arxiv.org/abs/1503.05029

zbMATH Keywords

control theorycovariance matrixdata assimilationKalman filterlinear dynamicsrank

Mathematics Subject Classification ID

Vector spaces, linear dependence, rank, lineability (15A03) Signal detection and filtering (aspects of stochastic processes) (60G35) Controllability (93B05) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11)

Abstract: We prove that for linear, discrete, time-varying, deterministic system (perfect model) with noisy outputs, the Riccati transformation in the Kalman filter asymptotically bounds the rank of the forecast and the analysis error covariance matrices to be less than or equal to the number of non-negative Lyapunov exponents of the system. Further, the support of these error covariance matrices is shown to be confined to the space spanned by the unstable-neutral backward Lyapunov vectors, providing the theoretical justification for the methodology of the algorithms that perform assimilation only in the unstable-neutral subspace. The equivalent property of the autonomous system is investigated as a special case.

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Cited in

(10)

• Stability of non-linear filter for deterministic dynamics
• Asymptotic properties of linear filter for deterministic processes
• Lyapunov vectors and assimilation in the unstable subspace: theory and applications
• scientific article; zbMATH DE number 399374 (Why is no real title available?)
• Asymptotic forecast uncertainty and the unstable subspace in the presence of additive model error
• Degenerate Kalman filter error covariances and their convergence onto the unstable subspace
• Asymptotic behavior of the forecast-assimilation process with unstable dynamics
• Accurate deep learning-based filtering for chaotic dynamics by identifying instabilities without an ensemble
• Ensemble Kalman methods: a mean-field perspective
• State estimation in spatiotemporal chaos via low-rank statFEM

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Uses Software

• EnKF

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