Mixture ensemble Kalman filters
AbstractA generic algorithmic framework for nonlinear ensemble filtering based on Gaussian mixtures and fuzzy clustering techniques is introduced. The framework generalizes the ensemble Kalman filter and relaxes the assumption of a Gaussian prediction distribution. A theoretical analysis of the proposed procedure is provided, establishing strong consistency under suitable assumptions. Specific implementations are discussed and adjustments that are necessary in high-dimensional settings are proposed. A simple implementation of the filter is shown to work well in common testbeds, providing substantial gains over the ensemble Kalman filter.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 58 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/csda
Nonlinear filtering; Data assimilation; Ensemble Kalman filter; Fuzzy clustering; Gaussian mixtures;
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