Improved initial sampling for the ensemble Kalman filter

DOI10.1007/S10596-008-9101-2MaRDI QIDQ732177zbMATH OpenOpenAlexFDO

Authors Dean S. Oliver, Yan Chen

Publication date 9 October 2009

Published in Computational Geosciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10596-008-9101-2

zbMATH Keywords

ensemble Kalman filterimportance samplingMonte Carlonumerical examplesvariance reduction

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Recommendations

• Improving the ensemble estimate of the Kalman gain by bootstrap sampling
• An ensemble Kalman filter using the conjugate gradient sampler
• An Iterative Ensemble Kalman Filter
• The ensemble Kalman filter
• An improved particle filter based on the ensemble Kalman filter
• Sampling error distribution for the ensemble Kalman filter update step
• An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula
• Ensemble Kalman sampler: mean-field limit and convergence analysis
• Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
• Large sample asymptotics for the ensemble Kalman filter

Cites work

• Approximate importance sampling Monte Carlo for data assimilation
• scientific article; zbMATH DE number 1666085 (Why is no real title available?)
• scientific article; zbMATH DE number 4174133 (Why is no real title available?)
• scientific article; zbMATH DE number 4070125 (Why is no real title available?)
• scientific article; zbMATH DE number 1215244 (Why is no real title available?)
• Integration of Multimodal Functions by Monte Carlo Importance Sampling
• Least-squares Importance Sampling for Monte Carlo security pricing

Cited in

(5)

• Fast linearized forecasts for subsurface flow data assimilation with ensemble Kalman filter
• Regional weather downscaling using ensemble Kalman filter with singular vector
• A stochastic collocation based Kalman filter for data assimilation
• Sampling error distribution for the ensemble Kalman filter update step
• Improving the ensemble estimate of the Kalman gain by bootstrap sampling

Describes a project that uses

Uses Software

• EnKF

This page was built for publication: Improved initial sampling for the ensemble Kalman filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q732177)