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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.
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“Inverse Problems and Data Assimilation with Connections to Machine Learning”
D. Sanz-Alonso, A.. Stuart and A. Taeb · 2018
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“Performance analysis of local ensemble Kalman filter”
Xin. Tong · 2018
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Felipe Medina-Aguayo, Daniel Rudolf and Nikolaus Schweizer · 2019
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Dan Crisan, Alberto López-Yela and Joaquin Miguez · 2020
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Alain Durmus, Andreas Eberle, Arnaud Guillin and Raphael Zimmer · 2020
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“Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time”
D… Kelly, K… Law and A.. Stuart · 2014
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“Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems”
O.. Ernst, B. Sprungk and H. Starkloff · 2015
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“Concrete ensemble Kalman filters with rigorous catastrophic filter divergence”
David Kelly, Andrew Majda and Xin Tong · 2015
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“Data Assimilation” 62
Kody Law, Andrew Stuart and Konstantinos Zygalakis · 2015
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“Can local particle filters beat the curse of dimensionality?”
P. Rebeschini and R. van Handel · 2015
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“Probabilistic Forecasting and Bayesian Data Assimilation”
Sebastian Reich and Colin Cotter · 2015
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“Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler”
A. Garbuno-Inigo, F. Hoffmann, W. Li and A.. Stuart · 2020
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“Affine invariant interacting Langevin dynamics for Bayesian inference”
A. Garbuno-Inigo, N. Nüsken and S. Reich · 2020
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“Mean field limit of Ensemble Square Root Filters–discrete and continuous time”
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“Wasserstein stability estimates for covariance-preconditioned Fokker-Planck equations”
J.. Carrillo and U. Vaes · 2021
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“Ensemble Kalman inversion: mean-field limit and convergence analysis”
Zhiyan Ding and Qin Li · 2021
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“Ensemble Kalman sampler: mean-field limit and convergence analysis”
Zhiyan Ding and Qin Li · 2021
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“Ensemble Kalman Inversion for nonlinear problems: Weights, consistency, and variance bounds”
Zhiyan Ding, Qin Li and Jianfeng Lu · 2021
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“On the continuous time limit of the ensemble Kalman filter”
Theresa Lange and Wilhelm Stannat · 2021
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“Analysis of the Ensemble Kalman–Bucy Filter for correlated observation noise”
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