Related papers: Accounting for model error in Tempered Ensemble Tr…

Over the years data assimilation methods have been developed to obtain estimations of uncertain model parameters by taking into account a few observations of a model state. The most reliable methods of MCMC are computationally expensive.…

We propose a method to account for model error due to unresolved scales in the context of the ensemble transform Kalman filter (ETKF). The approach extends to this class of algorithms the deterministic model error formulation recently…

Particle filters (also called sequential Monte Carlo methods) are widely used for state and parameter estimation problems in the context of nonlinear evolution equations. The recently proposed ensemble transform particle filter (ETPF)…

We study the ensemble Kalman filter (EnKF) algorithm for sequential data assimilation in a general situation, that is, for nonlinear forecast and measurement models with non-additive and non-Gaussian noises. Such applications traditionally…

Data assimilation is a method of uncertainty quantification to estimate the hidden true state by updating the prediction owing to model dynamics with observation data. As a prediction model, we consider a class of nonlinear dynamical…

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…

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…

We propose a new algorithm for an adaptive optics system control law which allows to reduce the computational burden in the case of an Extremely Large Telescope (ELT) and to deal with non-stationary behaviors of the turbulence. This…

The ensemble Kalman filter (EnKF) is a data assimilation technique that uses an ensemble of models, updated with data, to track the time evolution of a usually non-linear system. It does so by using an empirical approximation to the…

The iterative ensemble Kalman filter (IEnKF) in a deterministic framework was introduced in Sakov et al. (2012) to extend the ensemble Kalman filter (EnKF) and improve its performance in mildly up to strongly nonlinear cases. However, the…

Ensemble Kalman filter (EnKF) is an important data assimilation method for high dimensional geophysical systems. Efficient implementation of EnKF in practice often involves the localization technique, which updates each component using only…

State-of-the-art ensemble Kalman filtering (EnKF) algorithms require incorporating localization techniques to cope with the rank deficiency and the inherited spurious correlations in their error covariance matrices. Localization techniques…

This paper explores the potential of Local Ensemble Transform Kalman Filter (LETKF) by comparing the performance of LETKF with an operational 3D-Var assimilation system, Physical-Space Statistical Analysis System (PSAS), under a perfect…

Ensemble methods such as the Ensemble Kalman Filter (EnKF) are widely used for data assimilation in large-scale geophysical applications, as for example in numerical weather prediction (NWP). There is a growing interest for physical models…

An Ensemble Kalman Filter (EnKF, the predictor) is used make a large change in the state, followed by a Particle Filer (PF, the corrector) which assigns importance weights to describe non-Gaussian distribution. The weights are obtained by…

The particle filter (PF) and the ensemble Kalman filter (EnKF) are widely used for approximate inference in state-space models. From a Bayesian perspective, these algorithms represent the prior by an ensemble of particles and update it to…

We study parameter estimation for non-global parameters in a low-dimensional chaotic model using the local ensemble transform Kalman filter (LETKF). By modifying existing techniques for using observational data to estimate global…

The task of dynamic flow estimation is to construct an approximation of an evolving flow---and particularly, its response to disturbances---using measurements from available sensors. Building from previous work by Darakananda et al.~(Phys…

We propose a new type of the Ensemble Kalman Filter (EnKF), which uses the Fast Fourier Transform (FFT) for covariance estimation from a very small ensemble with automatic tapering, and for a fast computation of the analysis ensemble by…

Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…