A sparse matrix formulation of model-based ensemble Kalman filter
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Abstract: We introduce a computationally efficient variant of the model-based ensemble Kalman filter (EnKF). We propose two changes to the original formulation. First, we phrase the setup in terms of precision matrices instead of covariance matrices, and introduce a new prior for the precision matrix which ensures it to be sparse. Second, we propose to split the state vector into several blocks and formulate an approximate updating procedure for each of these blocks. We study in a simulation example the computational speedup and the approximation error resulting from using the proposed approach. The speedup is substantial for high dimensional state vectors, allowing the proposed filter to be run on much larger problems than can be done with the original formulation. In the simulation example the approximation error resulting from using the introduced block updating is negligible compared to the Monte Carlo variability inherent in both the original and the proposed procedures.
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Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
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- A hierarchical Bayes ensemble Kalman filter
- Multilevel ensemble Kalman filtering for spatio-temporal processes
- An efficient ensemble Kalman filter implementation via shrinkage covariance matrix estimation: exploiting prior knowledge
- An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula
- An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator
- Fast Kalman filter using hierarchical matrices and a low-rank perturbative approach
- Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix
- Spatio-temporal dynamic model and parallelized ensemble Kalman filter for precipitation data
- Ensemble updating of categorical state vectors
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