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The ensemble Kalman filter and its relations to other nonlinear filters
2015
2015 23rd European Signal Processing Conference (EUSIPCO)
The Ensemble Kalman filter (EnKF) is a standard algorithm in oceanography and meteorology, where it has got thousands of citations. It is in these communities appreciated since it scales much better with state dimension n than the standard Kalman filter (KF). In short, the EnKF propagates ensembles with N state realizations instead of mean values and covariance matrices and thereby avoids the computational and storage burden of working on n × n matrices. Perhaps surprising, very little
doi:10.1109/eusipco.2015.7362581
dblp:conf/eusipco/RothFHG15
fatcat:zmjsusuolrby7dvdl52eja6uoi