On the consistency of ensemble transform filter formulations

DOI10.3934/jcd.2014.1.177zbMath1302.93217OpenAlexW2321761986MaRDI QIDQ482720

Seoleun Shin, Sebastian Reich

Publication date: 6 January 2015

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jcd.2014.1.177

zbMATH Keywords

data assimilationparticle filterensemble Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic particle methods (65C35)

Related Items (2)

On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A Continuation Method in Bayesian Inference

Uses Software

• EnKF

Cites Work

• A dynamical systems framework for intermittent data assimilation
• Fundamentals of stochastic filtering
• Optimal transportation and applications. Lectures given at the C. I. M. E. summer school, Martina Franca, Italy, September 2--8, 2001
• Stochastic processes and filtering theory
• Approximate McKean–Vlasov representations for a class of SPDEs
• Deterministic Nonperiodic Flow
• Feedback Particle Filter
• Numerical solutions for a class of SPDEs over bounded domains
• Data Assimilation

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