Accuracy of the Ensemble Kalman Filter in the Near-Linear Setting

Edoardo Calvello; Pierre Monmarché; Andrew M. Stuart; Urbain Vaes

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arXiv · 2409.09800

Accuracy of the Ensemble Kalman Filter in the Near-Linear Setting

Edoardo Calvello·Pierre Monmarché·Andrew M. Stuart·Urbain Vaes

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Abstract

The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave poorly for high dimensional problems, suffering weight collapse. This issue is circumvented by the ensemble Kalman filter which is an equal-weight interacting particle system. However, this finite particle system is only proven to approximate the true filter in the linear Gaussian case. In practice, however, it is applied in much broader settings; as a result, establishing its approximation properties more generally is important. There has been recent progress in the theoretical analysis of the algorithm, establishing stability and error estimates in non-Gaussian settings, but the assumptions on the dynamics and observation models rule out the unbounded vector fields that arise in practice and the analysis applies only to the mean field limit of the ensemble Kalman filter. The present work establishes error bounds between the filtering distribution and the finite particle ensemble Kalman filter when the dynamics and observation vector fields may be unbounded, allowing linear growth.

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Edoardo Calvello, Pierre Monmarché, Andrew M. Stuart, Urbain Vaes. 2025-02-07. Accuracy of the Ensemble Kalman Filter in the Near-Linear Setting. https://arxiv.org/abs/2409.09800

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