On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles

Handle URI:
http://hdl.handle.net/10754/552748
Title:
On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles
Authors:
Luo, Xiaodong; Hoteit, Ibrahim ( 0000-0002-3751-4393 ) ; Moroz, Irene M.
Abstract:
The ensemble square root filter (EnSRF) [1, 2, 3, 4] is a popular method for data assimilation in high dimensional systems (e.g., geophysics models). Essentially the EnSRF is a Monte Carlo implementation of the conventional Kalman filter (KF) [5, 6]. It is mainly different from the KF at the prediction steps, where it is some ensembles, rather then the means and covariance matrices, of the system state that are propagated forward. In doing this, the EnSRF is computationally more efficient than the KF, since propagating a covariance matrix forward in high dimensional systems is prohibitively expensive. In addition, the EnSRF is also very convenient in implementation. By propagating the ensembles of the system state, the EnSRF can be directly applied to nonlinear systems without any change in comparison to the assimilation procedures in linear systems. However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].
KAUST Department:
Physical Sciences and Engineering (PSE) Division
Citation:
On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles, AIP Conference Proceedings 1281 , 1088 (2010); doi: 10.1063/1.3497831
Publisher:
AIP Publishing
Conference/Event name:
International Conference on Numerical Analysis and Applied Mathematics 2010, ICNAAM-2010
Issue Date:
19-Sep-2010
DOI:
10.1063/1.3497831
Type:
Conference Paper
Additional Links:
http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.3497831
Appears in Collections:
Conference Papers; Physical Sciences and Engineering (PSE) Division

Full metadata record

DC FieldValue Language
dc.contributor.authorLuo, Xiaodongen
dc.contributor.authorHoteit, Ibrahimen
dc.contributor.authorMoroz, Irene M.en
dc.date.accessioned2015-05-14T06:46:08Zen
dc.date.available2015-05-14T06:46:08Zen
dc.date.issued2010-09-19en
dc.identifier.citationOn Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles, AIP Conference Proceedings 1281 , 1088 (2010); doi: 10.1063/1.3497831en
dc.identifier.doi10.1063/1.3497831en
dc.identifier.urihttp://hdl.handle.net/10754/552748en
dc.description.abstractThe ensemble square root filter (EnSRF) [1, 2, 3, 4] is a popular method for data assimilation in high dimensional systems (e.g., geophysics models). Essentially the EnSRF is a Monte Carlo implementation of the conventional Kalman filter (KF) [5, 6]. It is mainly different from the KF at the prediction steps, where it is some ensembles, rather then the means and covariance matrices, of the system state that are propagated forward. In doing this, the EnSRF is computationally more efficient than the KF, since propagating a covariance matrix forward in high dimensional systems is prohibitively expensive. In addition, the EnSRF is also very convenient in implementation. By propagating the ensembles of the system state, the EnSRF can be directly applied to nonlinear systems without any change in comparison to the assimilation procedures in linear systems. However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].en
dc.publisherAIP Publishingen
dc.relation.urlhttp://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.3497831en
dc.rightsArchived with thanks to AIP Conference Proceedingsen
dc.titleOn Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensemblesen
dc.typeConference Paperen
dc.contributor.departmentPhysical Sciences and Engineering (PSE) Divisionen
dc.conference.date2010-09-19 to 2010-09-25en
dc.conference.nameInternational Conference on Numerical Analysis and Applied Mathematics 2010, ICNAAM-2010en
dc.conference.locationRhodes, GRCen
dc.eprint.versionPublisher's Version/PDFen
dc.contributor.institutionThe Oxford‐Man Institute, Eagle House, Walton Well Road, Oxford, 6ED, UKen
dc.contributor.institutionMathematical Institute, 24‐29 St Giles’, Oxford, OX1 3LB, UKen
kaust.authorLuo, Xiaodongen
kaust.authorHoteit, Ibrahimen
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