ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER

被引：81

作者：

Mandel, Jan ^{[1
,2
]}

Cobb, Loren ^{[1
,2
]}

Beezley, Jonathan D. ^{[1
,2
]}

机构：

[1] Univ Colorado, Ctr Computat Math, Denver, CO 80217 USA

[2] Univ Colorado, Dept Math & Stat Sci, Denver, CO 80217 USA

来源：

APPLICATIONS OF MATHEMATICS | 2011年 / 56卷 / 06期

基金：

美国国家科学基金会; 美国国家卫生研究院;

关键词：

data assimilation; ensemble; asymptotics; convergence; filtering; exchangeable random variables; DATA ASSIMILATION; OBJECTS;

D O I：

10.1007/s10492-011-0031-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Convergence of the ensemble Kalman filter in the limit for large ensembles to the Kalman filter is proved. In each step of the filter, convergence of the ensemble sample covariance follows from a weak law of large numbers for exchangeable random variables, the continuous mapping theorem gives convergence in probability of the ensemble members, and L-P bounds on the ensemble then give L-P convergence.

引用

页码：533 / 541

页数：9

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