An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula
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Publication:5963729
DOI10.1007/S11222-014-9454-4zbMATH Open1331.62357DBLPjournals/sac/RuizSA15arXiv1302.3876OpenAlexW2052320843WikidataQ57580432 ScholiaQ57580432MaRDI QIDQ5963729FDOQ5963729
Authors: Elias D. Nino Ruiz, Adrian Sandu, Jeffrey Anderson 
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We present a practical implementation of the ensemble Kalman (EnKF) filter based on an iterative Sherman-Morrison formula. The new direct method exploits the special structure of the ensemble-estimated error covariance matrices in order to efficiently solve the linear systems involved in the analysis step of the EnKF. The computational complexity of the proposed implementation is equivalent to that of the best EnKF implementations available in the literature when the number of observations is much larger than the number of ensemble members. Even when this conditions is not fulfilled, the proposed method is expected to perform well since it does not employ matrix decompositions. Computational experiments using the Lorenz 96 and the oceanic quasi-geostrophic models are performed in order to compare the proposed algorithm with EnKF implementations that use matrix decompositions. In terms of accuracy, the results of all implementations are similar. The proposed method is considerably faster than other EnKF variants, even when the number of observations is large relative to the number of ensemble members.
Full work available at URL: https://arxiv.org/abs/1302.3876
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Cited In (13)
- Non-linear data assimilation via trust region optimization
- Computing the pseudoinverse of specific Toeplitz matrices using rank-one updates
- An adjoint-free four-dimensional variational data assimilation method via a modified Cholesky decomposition and an iterative Woodbury matrix formula
- A reduced-space line-search method for unconstrained optimization via random descent directions
- Randomized tensor decomposition for large-scale data assimilation problems for carbon dioxide sequestration
- A sparse matrix formulation of model-based ensemble Kalman filter
- Error estimate for the ensemble Kalman filter analysis step
- An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator
- Local search methods for the solution of implicit inverse problems
- An Ensemble Kalman Filter Implementation Based on Modified Cholesky Decomposition for Inverse Covariance Matrix Estimation
- Ensemble Kalman filtering with shrinkage regression techniques
- Improved initial sampling for the ensemble Kalman filter
- A generalized polynomial chaos based ensemble Kalman filter with high accuracy
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