Deterministic Mean-Field Ensemble Kalman Filtering

Kody Law; Hamidou Tembine; Raul Tempone

doi:10.1137/140984415

Deterministic Mean-Field Ensemble Kalman Filtering

Kody Law, Hamidou Tembine, Raul Tempone

Research output: Contribution to journal › Article › peer-review

45 Scopus citations

Abstract

The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d

Original language	English (US)
Pages (from-to)	A1251-A1279
Number of pages	1
Journal	SIAM Journal on Scientific Computing
Volume	38
Issue number	3
DOIs	https://doi.org/10.1137/140984415
State	Published - May 3 2016

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledgements: This work was supported by the King Abdullah University of Science and Technology (KAUST) SRI-UQ Center.

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10.1137/140984415

https://repository.kaust.edu.sa/bitstream/10754/608649/1/140984415.pdf

Cite this

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title = "Deterministic Mean-Field Ensemble Kalman Filtering",

abstract = "The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d",

author = "Kody Law and Hamidou Tembine and Raul Tempone",

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T1 - Deterministic Mean-Field Ensemble Kalman Filtering

AU - Law, Kody

AU - Tembine, Hamidou

AU - Tempone, Raul

N1 - KAUST Repository Item: Exported on 2020-10-01 Acknowledgements: This work was supported by the King Abdullah University of Science and Technology (KAUST) SRI-UQ Center.

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Deterministic Mean-Field Ensemble Kalman Filtering

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