Uniform error bounds of the ensemble transform Kalman filter for infinite-dimensional dynamics with multiplicative covariance inflation
<|reference_start|>Uniform error bounds of the ensemble transform Kalman filter for infinite-dimensional dynamics with multiplicative covariance inflation: Data assimilation is a method of uncertainty quantification to estimate the hidden true state by updating the prediction owing to model dynamics with observation data. As a prediction model, we consider a class of nonlinear dynamical systems on Hilbert spaces including the two-dimensional Navier-Stokes equations and the Lorenz '63 and '96 equations. For nonlinear model dynamics, the ensemble Kalman filter (EnKF) is often used to approximate the mean and covariance of the probability distribution with a set of particles called an ensemble. In this paper, we consider a deterministic version of the EnKF known as the ensemble transform Kalman filter (ETKF), performing well even with limited ensemble sizes in comparison to other stochastic implementations of the EnKF. When the ETKF is applied to large-scale systems, an ad-hoc numerical technique called a covariance inflation is often employed to reduce approximation errors. Despite the practical effectiveness of the ETKF, little is theoretically known. The present study aims to establish the theoretical analysis of the ETKF. We obtain that the estimation error of the ETKF with and without the covariance inflation is bounded for any finite time. In particular, the uniform-in-time error bound is obtained when an inflation parameter is chosen appropriately, justifying the effectiveness of the covariance inflation in the ETKF.<|reference_end|>
@article{takeda2024uniform,
    title={Uniform error bounds of the ensemble transform Kalman filter for
  infinite-dimensional dynamics with multiplicative covariance inflation},
    author={Kota Takeda and Takashi Sakajo},
    journal={arXiv preprint arXiv:2402.03756},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.03756},
    primaryClass={math.ST cs.NA math.NA stat.TH}
}