BIMSA > Seminar on Control Theory and Nonlinear Filtering The Mean Field Ensemble Kalman Filter: Near-Gaussian Setting
The Mean Field Ensemble Kalman Filter: Near-Gaussian Setting
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Friday, January 26, 2024 9:30 PM - 10:00 PM
Venue
Online
Abstract
The ensemble Kalman filter is widely used in applications, while there is no theory which quantifies its accuracy as an approximation of the true filtering distribution, except in the Gaussian setting. To address this issue, J. A. Carrillo et al. provide the first analysis of the accuracy of the ensemble Kalman filter beyond the Gaussian setting. The authors prove two types of results: the first is a stability estimate controlling the error made by the ensemble Kalman filter in terms of the difference between the true filtering distribution and a nearby Gaussian; and the second is that in a neighborhood of Gaussian problems, the ensemble Kalman filter makes a small error, in comparison with the true filtering distribution. Several topics and potential future directions in this field are also discussed in this paper.