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
Bibliographical noteKAUST 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.