Deterministic Mean-Field Ensemble Kalman Filtering

Kody Law, Hamidou Tembine, Raul Tempone

Research output: Contribution to journalArticlepeer-review

27 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 languageEnglish (US)
Pages (from-to)A1251-A1279
Number of pages1
JournalSIAM Journal on Scientific Computing
Volume38
Issue number3
DOIs
StatePublished - May 3 2016

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