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DETERMINISTIC MEAN-FIELD ENSEMBLE KALMAN FILTERING
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DOI：10.1137/140984415.png)
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Abstract
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The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598{631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence kappa between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d < 2 kappa. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Keywords:
filtering
Fokker Planck
EnKF
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