ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER

Jan Mandel; Loren Cobb; Jonathan D. Beezley

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ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER

机译：关于卡尔曼滤波的收敛性

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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.

机译：证明了集合卡尔曼滤波器在大集合极限中收敛于卡尔曼滤波器。在过滤器的每个步骤中，集合样本协方差的收敛源自可交换随机变量的弱大数定律，连续映射定理给出集合成员的概率收敛，并且集合上的L〜p界然后给出L 〜p收敛。

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来源
《Applications of Mathematics》 |2011年第6期|p.533-541|共9页
作者
Jan Mandel; Loren Cobb; Jonathan D. Beezley;
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作者单位

Cen-ter for Computational Mathematics and Department of Mathematical and Statisti-cal Sciences, University of Colorado Denver, Denver, CO 80217-3364, U.S.A.;

Cen-ter for Computational Mathematics and Department of Mathematical and Statisti-cal Sciences, University of Colorado Denver, Denver, CO 80217-3364, U.S.A.;

Cen-ter for Computational Mathematics and Department of Mathematical and Statisti-cal Sciences, University of Colorado Denver, Denver, CO 80217-3364, U.S.A.;

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原文格式 PDF
正文语种 eng
中图分类
关键词
data assimilation; ensemble; asymptotics; convergence; filtering; exchangeable random variables;

机译：数据同化合奏;无症状收敛;过滤可交换随机变量;

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ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER

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