Ensemble Kalman Methods: A Mean Field Perspective

Understand

Ensemble Kalman methods are widely used for state estimation in the geophysical sciences.

• Their success stems from the fact that they take an underlying (possibly noisy) dynamical system as a black box to provide a systematic, derivative-free methodology for incorporating noisy, partial and possibly indirect observations to update estimates of the state; furthermore the ensemble approach allows for sensitivities and uncertainties to be calculated.
• The methodology was introduced in 1994 in the context of ocean state estimation.
• Soon thereafter it was adopted by the numerical weather prediction community and is now a key component of the best weather prediction systems worldwide.