An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula

DOI10.1007/s11222-014-9454-4zbMath1331.62357arXiv1302.3876OpenAlexW2052320843WikidataQ57580432 ScholiaQ57580432MaRDI QIDQ5963729

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Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3876

zbMATH Keywords

matrix inversionmatrix decompositionensemble Kalman filterSherman-Morrison formula

Mathematics Subject Classification ID

Related Items (8)

Randomized tensor decomposition for large-scale data assimilation problems for carbon dioxide sequestration ⋮ An adjoint-free four-dimensional variational data assimilation method via a modified Cholesky decomposition and an iterative Woodbury matrix formula ⋮ An Ensemble Kalman Filter Implementation Based on Modified Cholesky Decomposition for Inverse Covariance Matrix Estimation ⋮ An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator ⋮ A reduced-space line-search method for unconstrained optimization via random descent directions ⋮ Computing the pseudoinverse of specific Toeplitz matrices using rank-one updates ⋮ Local search methods for the solution of implicit inverse problems ⋮ Non-linear data assimilation via trust region optimization

Uses Software

• LAPACK
• EnKF

Cites Work

• The solution of linear systems by using the Sherman-Morrison formula
• Exploring the need for localization in ensemble data assimilation using a hierarchical ensemble filter
• Robust Approximate Cholesky Factorization of Rank-Structured Symmetric Positive Definite Matrices
• Stability Issues in the Factorization of Structured Matrices
• A New Modified Cholesky Factorization
• Error Estimate for the Ensemble Kalman Filter Analysis Step
• Refined Error Analyses of Cholesky Factorization
• Hidden Markov Models and Dynamical Systems
• Some History of the Conjugate Gradient and Lanczos Algorithms: 1948–1976
• Efficient Implementation of a Class of Preconditioned Conjugate Gradient Methods
• Iterative Solution of the Helmholtz Equation by a Second-Order Method
• Incomplete Cholesky Factorizations with Limited Memory
• Rate of Convergence of Several Conjugate Gradient Algorithms
• On the Stability of Cholesky Factorization for Symmetric Quasidefinite Systems
• The ensemble Kalman filter for combined state and parameter estimation
• The Use of Conjugate Gradients for Systems of Linear Equations Possessing “Property A”

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