4.7 Article

An Iterative Ensemble Kalman Filter

期刊

IEEE TRANSACTIONS ON AUTOMATIC CONTROL
卷 56, 期 8, 页码 1990-1995

出版社

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2011.2154430

关键词

Ensemble Kalman filter (EnKF); Kalman filter; probability density function (PDF); sequential importance resampling (SIR) filter

资金

  1. Norwegian Research Council
  2. project ROAW Phase-II: Continuous model updating of reservoir simulation models and improved reservoir management

向作者/读者索取更多资源

The ensemble Kalman filter is a Monte Carlo method for state estimation of nonlinear models, developed as an alternative or improvement of the extended Kalman filter. In this technical note we introduce an iterative extension to the ensemble Kalman filter. Iterations are introduced to improve the estimates in the cases where the relationship between the model and observations is not linear. The iterations converge, but to a solution where the data are overfitted. An essential stopping criteria is therefore introduced for the proposed method. We show that the iterative ensemble Kalman filter gives improvements compared to the standard ensemble Kalman filter. The filter is also compared to an already existing iterative version of the ensemble Kalman filter, and differences are discussed.

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