TY  - JOUR
A1  - Bergemann, Kay
A1  - Reich, Sebastian
T1  - An ensemble Kalman-Bucy filter for continuous data assimilation
T2  - Meteorologische Zeitschrift
N2  - 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.
Y1  - 2012
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/35837
SN  - 0941-2948
VL  - 21
IS  - 3
SP  - 213
EP  - 219
PB  - Schweizerbart
CY  - Stuttgart
ER  -