Related papers: Well-Posedness And Accuracy Of The Ensemble Kalman…

The Kalman filter is a fundamental tool for state estimation in dynamical systems. While originally developed for linear Gaussian settings, it has been extended to nonlinear problems through approaches such as the extended and unscented…

In this article, a robust ensemble Kalman filter (EnKF) called MC-EnKF is proposed for nonlinear state-space model to deal with filtering problems with non-Gaussian observation noises. Our MC-EnKF is derived based on maximum correntropy…

Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state of the system is high dimensional, ensemble Kalman filters are often the method of choice.…

Inconsistency issue is one crucial challenge for the performance of extended Kalman filter (EKF) based methods for state estimation problems, which is mainly affected by the discrepancy of observability between the EKF model and the…

Ensemble methods, such as the ensemble Kalman filter (EnKF), the local ensemble transform Kalman filter (LETKF), and the ensemble Kalman smoother (EnKS) are widely used in sequential data assimilation, where state vectors are of huge…

We explore the potential of Data-Assimilation (DA) within the multi-scale framework of a shell model of turbulence, with a focus on the Ensemble Kalman Filter (EnKF). The central objective is to understand how measuring mesoscales (i.e.,…

The intersection between classical data assimilation methods and novel machine learning techniques has attracted significant interest in recent years. Here we explore another promising solution in which diffusion models are used to…

This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian…

Ensemble Kalman filters are based on a Gaussian assumption, which can limit their performance in some non-Gaussian settings. This paper reviews two nonlinear, non-Gaussian extensions of the Ensemble Kalman Filter: Gaussian anamorphosis (GA)…

This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC. Background errors corresponding to…

We analyze the convergence aspects of the invariant extended Kalman filter (IEKF), when the latter is used as a deterministic non-linear observer on Lie groups, for continuous-time systems with discrete observations. One of the main…

It is a grand challenge to find a feasible weather modification method to mitigate the impact of extreme weather events such as tropical cyclones. Previous works have proposed potentially effective actuators and assessed their capabilities…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

A data-driven investigation of the flow around a high-rise building is performed combining heterogeneous experimental samples and RANS CFD. The coupling is performed using techniques based on the Ensemble Kalman Filter (EnKF), including…

Despite the widespread usage of discrete generation Ensemble Kalman particle filtering methodology to solve nonlinear and high dimensional filtering and inverse problems, little is known about their mathematical foundations. As genetic-type…

We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…

A stochastic filter uses a series of measurements over time to produce estimates of unknown variables based on a dynamic model. For a quantum system, such an algorithm is provided by a quantum filter, which is also known as a stochastic…

The Ensemble Kalman Filter (EnKF) is a popular estimation technique in the geosciences. It is used as a numerical tool for state vector prognosis and parameter estimation. The EnKF can, for example, help to evaluate the geothermal potential…

This paper investigates the distributed Kalman filter (DKF) for linear systems, with specific attention on measurement fusion, which is a typical way of information sharing and is vital for enhancing stability and improving estimation…

This paper introduces the ensemble directional Kalman filter (EnDKF), an ensemble-based Kalman filtering approach for pose tracking that jointly estimates an object's position and attitude using ideas from directional statistics. The EnDKF…