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Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter
2011
Monthly Weather Review
We propose a robust ensemble filtering scheme based on the H_∞ filtering theory. The optimal H_∞ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the minimum variance used in the Kalman filter. By design, the H_∞ filter is more robust than the Kalman filter, in the sense that the estimation error in the H_∞ filter in general has a finite growth rate with respect to the uncertainties in assimilation, except for a special case
doi:10.1175/mwr-d-10-05068.1
fatcat:dasrhxft2zggvgn2rh7amouvje