The Ensemble Kalman filter: a signal processing perspective
نویسندگان
چکیده
منابع مشابه
The Ensemble Kalman Filter: A Signal Processing Perspective
The ensemble Kalman filter (EnKF) is a Monte Carlo based implementation of the Kalman filter (KF) for extremely high-dimensional, possibly nonlinear and non-Gaussian state estimation problems. Its ability to handle state dimensions in the order of millions has made the EnKF a popular algorithm in different geoscientific disciplines. Despite a similarly vital need for scalable algorithms in sign...
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Ensemble Kalman filters (EnKF) based on a small ensemble tend to provide collapse of the ensemble over time. It is shown that this collapse is caused by positive coupling of the ensemble members due to use of one common estimate of the Kalman gain for the update of all ensemble members at each time step. This coupling can be avoided by resampling the Kalman gain from its sampling distribution i...
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The Kalman Filter (KF) is a powerful tool in the analysis of the evolution of a dynamical model in time. The filter provides with a flexible manner to obtain recursive estimation of the parameters, which are optimal in the mean square error sense. The properties of KF along with the simplicity of the derived equations make it valuable in the analysis of signals. In this chapter an overview of t...
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Hybrid data assimilation methods combine elements of ensemble Kalman filters (EnKF) and variational methods. While most approaches have focused on augmenting an operational variational system with dynamic error covariance information from an EnKF [1][2][4][5][8], we take the opposite perspective of augmenting an operational EnKF with information from a simple 3D-Variational (3D-Var) method [7]....
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Data assimilation in meteorology seeks to provide a current analysis of the state of the atmosphere to use as initial conditions in a weather forecast. This is achieved by using an estimate of a previous state of the system and merging that with observations of the true state of the system. Ensemble Kalman filtering is one method of data assimilation. Ensemble Kalman filters operate by using an...
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ژورنال
عنوان ژورنال: EURASIP Journal on Advances in Signal Processing
سال: 2017
ISSN: 1687-6180
DOI: 10.1186/s13634-017-0492-x