Ensemble Kalman Filter Implementations Based on Covariance Matrix Estimation
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Publication:6258697
arXiv1502.00301MaRDI QIDQ6258697FDOQ6258697
Authors: Elias D. Nino Ruiz, Adrian Sandu 
Publication date: 1 February 2015
Abstract: This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimate the background error covariance matrix via the Rao-Blackwell Ledoit and Wolf estimator, which has been developed specifically developed to approximate high-dimensional covariance matrices using a small number of samples. Additional samples are taken from the normal distribution described by the background ensemble mean and the estimated background covariance matrix in order to increase the size of the ensemble and reduce the sampling error of the filter. This increase in the size of the ensemble is obtained without running the forward model. After the assimilation step, the additional samples are discarded and only the initial members are propagated. Two implementations are considered. In the EnKF Full-Space (EnKF-FS) approach the assimilation process is performed in the model space, while the EnKF Reduce-Space (EnKF-RS) formulation performs the analysis in the subspace spanned by the ensemble members. Numerical experiments carried out with a quasi-geostrophic model show that the proposed implementations outperform current methods such as the traditional EnKF formulation, square root filters, and inflation-free EnKF implementations. The proposed implementations provide good results with small ensemble sizes () and small percentages of observed components from the vector state. These results are similar (and in some cases better) to traditional methods using large ensemble sizes () and large percentages of observed components. The computational times of the new implementations remain reasonably low.
Sequential estimation (62L12) Stochastic approximation (62L20) Discrete-time Markov processes on general state spaces (60J05)
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