Performance of Ensemble Kalman Filters in Large Dimensions

DOI10.1002/cpa.21722zbMath1390.93799arXiv1606.09321OpenAlexW2620175920MaRDI QIDQ4639318

Andrew J. Majda, Xin Thomson Tong

Publication date: 9 May 2018

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.09321

zbMATH Keywords

data assimilationensemble Kalman filters (EnKF)large-dimensional turbulent dynamical systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Large-scale systems (93A15)

Related Items (14)

Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis ⋮ Convergence acceleration of ensemble Kalman inversion in nonlinear settings ⋮ Perturbations and projections of Kalman-Bucy semigroups ⋮ Performance analysis of local ensemble Kalman filter ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ Splitting-up spectral method for nonlinear filtering problems with correlation noises ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ Filtering Methods for Coupled Inverse Problems ⋮ Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations ⋮ On one-dimensional Riccati diffusions ⋮ Well posedness and convergence analysis of the ensemble Kalman inversion ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models

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