The ensemble Kalman filter for combined state and parameter estimation

DOI10.1109/MCS.2009.932223zbMATH Open1395.93534MaRDI QIDQ5375692FDOQ5375692

Authors: Geir Evensen Error creating thumbnail:

Publication date: 14 September 2018

Published in: IEEE Control Systems (Search for Journal in Brave)

Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cited In (only showing first 100 items - show all)

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A new data assimilation technique based on ensemble Kalman filter and Brownian bridges: an application to Richards' equation
An approach to periodic, time-varying parameter estimation using nonlinear filtering
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Accuracy and stability of filters for dissipative PDEs
Data assimilation with model error: analytical and computational study for sabra shell model
Parameterised non-intrusive reduced order methods for ensemble Kalman filter data assimilation
Assimilation of nearly turbulent Rayleigh-Bénard flow through vorticity or local circulation measurements: a computational study
The numerical solution of Richards' equation by means of method of lines and ensemble Kalman filter
Kalman filter parameter estimation for a nonlinear diffusion model of epithelial cell migration using stochastic collocation and the Karhunen-Loeve expansion
On the convergence of a non-linear ensemble Kalman smoother
Constrained ensemble Langevin Monte Carlo
A drift homotopy implicit particle filter method for nonlinear filtering problems
Tuned iterated filtering
Unscented/ensemble transform-based variational filter
A parallel time integrator for noisy nonlinear oscillatory systems
Ensemble Kalman sampler: mean-field limit and convergence analysis
A stochastic collocation based Kalman filter for data assimilation
An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula
Closed-loop stochastic oilfield optimization for hedging against geologic, development, and operation uncertainty
Iterative regularization for ensemble data assimilation in reservoir models
Reconstruction of unsteady viscous flows using data assimilation schemes
Assimilating spatially dense data for subsurface applications -- balancing information and degrees of freedom
Assimilation of disparate data for enhanced reconstruction of turbulent mean flows
The Kalman stochastic ensemble filter with transformation of perturbation ensemble
A derivative-free trust region framework for variational data assimilation
A Bayesian filtering approach to layer stripping for electrical impedance tomography
Predicting the behavior of sparsely-sampled systems across neurobiology and epidemiology
Ensemble-based assimilation of nonlinearly related dynamic data in reservoir models exhibiting non-Gaussian characteristics
A hybrid assimilation scheme for characterization of three-phase flow in porous media
Spatial localization for nonlinear dynamical stochastic models for excitable media
Sampling-free linear Bayesian update of polynomial chaos representations
Practical identifiability and uncertainty quantification of a pulsatile cardiovascular model
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A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements
Predicting observed and hidden extreme events in complex nonlinear dynamical systems with partial observations and short training time series
Improved neural solution for the Lyapunov matrix equation based on gradient search
Iterative ensemble Kalman methods: a unified perspective with some new variants
Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
4D large scale variational data assimilation of a turbulent flow with a dynamics error model
Efficient nonlinear optimal smoothing and sampling algorithms for complex turbulent nonlinear dynamical systems with partial observations
State estimation in wall-bounded flow systems. III: The ensemble Kalman filter
An adaptive ANOVA-based PCKF for high-dimensional nonlinear inverse modeling
Adaptive approximation of higher order posterior statistics
An iterative stochastic ensemble method for parameter estimation of subsurface flow models
The cardiovascular system: mathematical modelling, numerical algorithms and clinical applications
Regularized ensemble Kalman methods for inverse problems
A multiscale method for data assimilation
On temporal scale separation in coupled data assimilation with the ensemble Kalman filter
Model-based kernel sum rule: kernel Bayesian inference with probabilistic models
Improving the prediction of complex nonlinear turbulent dynamical systems using nonlinear filter, smoother and backward sampling techniques
Integrated methodology for state and parameter estimation of spark-ignition engines
Derivative-Free Bayesian Inversion Using Multiscale Dynamics
Combining geostatistics and Kalman filtering for data assimilation in an estuarine system
A parallel ensemble-based framework for reservoir history matching and uncertainty characterization
Conditioning reservoir models on rate data using ensemble smoothers
Gaussian processes for history-matching: application to an unconventional gas reservoir
Transformed and generalized localization for ensemble methods in data assimilation
Combining CSEM or gravity inversion with seismic AVO inversion, with application to monitoring of large-scale \(\mathrm{CO_2}\) injection
Analysis of iterative ensemble smoothers for solving inverse problems
Data assimilation methods for neuronal state and parameter estimation
Novel iterative ensemble smoothers derived from a class of generalized cost functions
Investigation of the sampling performance of ensemble-based methods with a simple reservoir model
On one-dimensional Riccati diffusions
Asymptotic forecast uncertainty and the unstable subspace in the presence of additive model error
Nudging-based data assimilation of the turbulent flow around a square cylinder
Approximation of the numerical simulation in conjunction with one data assimilation method by stochastic process of Ornstein-Uhlenbeck type
Autodifferentiable ensemble Kalman filters
Robust data assimilation with noise: applications to cardiac dynamics
Affine-mapping based variational ensemble Kalman filter
A state estimation approach based on stochastic expansions
Accuracy of some approximate Gaussian filters for the Navier-Stokes equation in the presence of model error
Accounting for model errors in iterative ensemble smoothers
Alternating projections filtering algorithm to track moving objects
Nonlinear Kalman filtering for censored observations
A multigrid/ensemble Kalman filter strategy for assimilation of unsteady flows
Seismic data assimilation with an imperfect model
Randomized tensor decomposition for large-scale data assimilation problems for carbon dioxide sequestration
Resampled ensemble Kalman inversion for Bayesian parameter estimation with sequential data
A direct filter method for parameter estimation
Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
A particle filter for stochastic advection by Lie transport: a case study for the damped and forced incompressible two-dimensional Euler equation
Effective filtering analysis for non-Gaussian dynamic systems
Reduced model of macro-scale stochastic plasticity identification by Bayesian inference: application to quasi-brittle failure of concrete
Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
Model reduction of linear dynamical systems via balancing for Bayesian inference
Batch seismic inversion using the iterative ensemble Kalman smoother
Formulating the history matching problem with consistent error statistics
Uncertainty quantification and optimal decisions
A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters
An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator

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EnKF

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