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 |
|---|---|
| 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 |
