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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Borntraeger
2012-06-01
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| Series: | Meteorologische Zeitschrift |
| Online Access: | http://dx.doi.org/10.1127/0941-2948/2012/0307 |
| _version_ | 1797332680370552832 |
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| author | Kay Bergemann Sebastian Reich |
| author_facet | Kay Bergemann Sebastian Reich |
| author_sort | Kay Bergemann |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T07:52:25Z |
| format | Article |
| id | doaj.art-0b84bcb8fae44ec8a2dd2d7851aaddcd |
| institution | Directory Open Access Journal |
| issn | 0941-2948 |
| language | English |
| last_indexed | 2024-03-08T07:52:25Z |
| publishDate | 2012-06-01 |
| publisher | Borntraeger |
| record_format | Article |
| series | Meteorologische Zeitschrift |
| spelling | doaj.art-0b84bcb8fae44ec8a2dd2d7851aaddcd2024-02-02T14:35:00ZengBorntraegerMeteorologische Zeitschrift0941-29482012-06-0121321321910.1127/0941-2948/2012/030778295An ensemble Kalman-Bucy filter for continuous data assimilationKay BergemannSebastian ReichThe 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.http://dx.doi.org/10.1127/0941-2948/2012/0307 |
| spellingShingle | Kay Bergemann Sebastian Reich An ensemble Kalman-Bucy filter for continuous data assimilation Meteorologische Zeitschrift |
| title | An ensemble Kalman-Bucy filter for continuous data assimilation |
| title_full | An ensemble Kalman-Bucy filter for continuous data assimilation |
| title_fullStr | An ensemble Kalman-Bucy filter for continuous data assimilation |
| title_full_unstemmed | An ensemble Kalman-Bucy filter for continuous data assimilation |
| title_short | An ensemble Kalman-Bucy filter for continuous data assimilation |
| title_sort | ensemble kalman bucy filter for continuous data assimilation |
| url | http://dx.doi.org/10.1127/0941-2948/2012/0307 |
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