Ensemble Kalman filter with the unscented transform

Details Ensemble Kalman filter with the unscented transform Ensemble Kalman filter with the unscented transform

2009-01-05

arxiv.org/abs/0901.0461v1

Physica D 238: 549-562 2009

Physics

Atmospheric and Oceanic Physics

Scientific paper

10.1016/j.physd.2008.12.003

A modification scheme to the ensemble Kalman filter (EnKF) is introduced based on the concept of the unscented transform (Julier et al., 2000; Julier and Uhlmann, 2004), which therefore will be called the ensemble unscented Kalman filter (EnUKF) in this work. When the error distribution of the analysis is symmetric (not necessarily Gaussian), it can be shown that, compared to the ordinary EnKF, the EnUKF has more accurate estimations of the ensemble mean and covariance of the background by examining the multidimensional Taylor series expansion term by term. This implies that, the EnUKF may have better performance in state estimation than the ordinary EnKF in the sense that the deviations from the true states are smaller. For verification, some numerical experiments are conducted on a 40-dimensional system due to Lorenz and Emanuel (Lorenz and Emanuel, 1998). Simulation results support our argument.

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