An ensemble Kalman-Bucy filter for continuous data assimilation

The ensemble Kalman filter has emerged as a promising filter algorithm for nonlinear differential equations subject to intermittent observations. In this paper, we extend the well-known Kalman-Bucy filter for linear differential equations subject to continous observations to the ensemble setting and...

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Published inMeteorologische Zeitschrift (Berlin, Germany : 1992) Vol. 21; no. 3; pp. 213 - 219
Main Authors Kay Bergemann, Sebastian Reich
Format Journal Article
LanguageEnglish
Published Borntraeger 01.06.2012
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Summary:The ensemble Kalman filter has emerged as a promising filter algorithm for nonlinear differential equations subject to intermittent observations. In this paper, we extend the well-known Kalman-Bucy filter for linear differential equations subject to continous observations to the ensemble setting and nonlinear differential equations. The proposed filter is called the ensemble Kalman-Bucy filter and its performance is demonstrated for a simple mechanical model (Langevin dynamics) subject to incremental observations of its velocity.
ISSN:0941-2948
DOI:10.1127/0941-2948/2012/0307