Related papers: Spectral diagonal ensemble Kalman filters
Ensemble Kalman inversion is a parallelizable derivative-free method to solve inverse problems. The method uses an ensemble that follows the Kalman update formula iteratively to solve an optimization problem. The ensemble size is crucial to…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
Nonlinear extensions of the Kalman filter (KF), such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are indispensable for state estimation in complex dynamical systems, yet the conditions for a nonlinear KF to…
This paper derives the extended Kalman filter (EKF) for continuous-time systems on matrix Lie groups observed through discrete-time measurements. By modeling the system noise on the Lie algebra and adopting a Stratonovich interpretation for…
We present a novel algorithm based on the ensemble Kalman filter to solve inverse problems involving multiscale elliptic partial differential equations. Our method is based on numerical homogenization and finite element discretization and…
We consider the solution of inverse problems in dynamic contrast-enhanced imaging by means of Ensemble Kalman Filters. Our quantity of interest is blood perfusion, i.e. blood flow rates in tissue. While existing approaches to compute blood…
This paper is concerned with the linear/nonlinear Kalman-like filtering problem under binary sensors. Since innovation represents new information in the sensor measurement and serves to correct the prediction for the Kalman-like filter…
Many real-world systems modeled using differential equations involve unknown or uncertain parameters. Standard approaches to address parameter estimation inverse problems in this setting typically focus on estimating constants; yet some…
Recent advances in data assimilation (DA) have focused on developing more flexible approaches that can better accommodate nonlinearities in models and observations. However, it remains unclear how the performance of these advanced methods…
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…
Data assimilation (DA) integrates numerical model forecasts with observations to achieve the optimal state estimation. Ensemble-based methods, such as the ensemble Kalman filter (EnKF), are widely used for state estimation for…
In this study, two classes of methods including statistical and variational data assimilation algorithms will be described. In statistical methods, the model state is updated sequentially based on the previous estimate. Variational methods,…
Accurate data assimilation (DA) for systems with piecewise-smooth or discontinuous state variables remains a significant challenge, as conventional covariance-based ensemble Kalman filter approaches often fail to effectively balance…
The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model…
A modification scheme to the ensemble Kalman filter (EnKF) is introduced based on the concept of the unscented transform (Julier et al., 2000; Julier and Uhlmann, 2004), which therefore will be called the ensemble unscented Kalman filter…
The ensemble Kalman filter (EnKF) is widely used for data assimilation in high-dimensional systems, but its performance often deteriorates for strongly nonlinear dynamics due to the structural mismatch between the Kalman update and the…
The central object in wave turbulence theory is the wave kinetic equation (WKE), which is an evolution equation for wave action density and acts as the wave analog of the Boltzmann kinetic equations for particle interactions. Despite recent…
The ensemble Kalman filter is widely used in applications because, for high dimensional filtering problems, it has a robustness that is not shared for example by the particle filter; in particular it does not suffer from weight collapse.…
We propose an affine-mapping based variational Ensemble Kalman filter for sequential Bayesian filtering problems with generic observation models. Specifically, the proposed method is formulated as to construct an affine mapping from the…
We consider the problem of an ensemble Kalman filter when only partial observations are available. In particular we consider the situation where the observational space consists of variables which are directly observable with known…