On the convergence of a non-linear ensemble Kalman smoother

• Published in: Applied numerical mathematics Vol. 137; pp. 151 - 168
• Main Authors: Bergou, El Houcine, Gratton, Serge, Mandel, Jan
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.03.2019; Elsevier
• Subjects: [formula omitted] convergence; Computer Science; Ensemble Kalman filter/smoother; Kalman filter/smoother; Least squares; Levenberg–Marquardt method; Life Sciences; Mathematics; Levenberg–Marquardt method; Lp convergence; Kalman filter/smoother; Least squares; Ensemble Kalman filter/smoother; L-P convergence; Levenberg-Marquardt method

Ensemble methods, such as the ensemble Kalman filter (EnKF), the local ensemble transform Kalman filter (LETKF), and the ensemble Kalman smoother (EnKS) are widely used in sequential data assimilation, where state vectors are of huge dimension. Little is known, however, about the asymptotic behavior...