An ensemble Kalman-Bucy filter for continuous data assimilation
- 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.
Author details: | Kay Bergemann, Sebastian ReichORCiDGND |
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DOI: | https://doi.org/10.1127/0941-2948/2012/0307 |
ISSN: | 0941-2948 |
Title of parent work (English): | Meteorologische Zeitschrift |
Publisher: | Schweizerbart |
Place of publishing: | Stuttgart |
Publication type: | Article |
Language: | English |
Year of first publication: | 2012 |
Publication year: | 2012 |
Release date: | 2017/03/26 |
Volume: | 21 |
Issue: | 3 |
Number of pages: | 7 |
First page: | 213 |
Last Page: | 219 |
Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
Peer review: | Referiert |