Tidal flow forecasting using reduced rank square root filters
We present an approximation to the Kalman filter algorithm which is based on a reduced rank approximation of the error covariance using a square root factorization. The use of the factorization ensures that the error covariance matrix remains positive semi-definite at all times, while the smaller rank reduces the number of computations and storage requirements. The number of computations and storage required depend on the problem at hand, but will typically be orders of magnitude smaller than for the full Kalman filter without significant loss of accuracy. The algorithm is applied to a model based on a linearized version of the two-dimensional shallow water equations for the prediction of tides and storm surges.
scientific article; zbMATH DE number 1186737
scientific article