Uniform error bounds of the ensemble transform Kalman filter for chaotic dynamics with multiplicative covariance inflation

DOI10.1137/24M1637192MaRDI QIDQ6669403FDOQ6669403

Authors: Takashi Sakajo 

Publication date: 22 January 2025

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Recommendations

• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
• Nonlinear stability and ergodicity of ensemble based Kalman filters
• Uncertainty quantification in the ensemble Kalman filter
• Performance of ensemble Kalman filters in large dimensions
• Performance analysis of local ensemble Kalman filter

zbMATH Keywords

data assimilationaccuracydissipative dynamicsensemble Kalman filterfiltering problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) PDEs in connection with control and optimization (35Q93) Inverse problems for PDEs (35R30)

Cites Work

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• Global lyapunov exponents, kaplan-yorke formulas and the dimension of the attractors for 2D navier-stokes equations
• Filter accuracy for the Lorenz 96 model: fixed versus adaptive observation operators
• Nonlinear stability and ergodicity of ensemble based Kalman filters
• Data Assimilation
• Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
• Convergence of the square root ensemble Kalman filter in the large ensemble limit
• Probabilistic Forecasting and Bayesian Data Assimilation
• Mean field limit of ensemble square root filters -- discrete and continuous time
• Non-asymptotic analysis of ensemble Kalman updates: effective dimension and localization

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