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On the Mathematical Theory of Ensemble (Linear-Gaussian) Kalman-Bucy Filtering

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Abstract

The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for linear-Gaussian signal models. We present a system of equations that describe the flow of individual particles and the flow of the sample covariance and the sample mean in continuous-time ensemble filtering. We consider these equations and their characteristics in a number of popular ensemble Kalman filtering variants. Given these equations, we study their asymptotic convergence to the optimal Bayesian filter. We also study in detail some non-asymptotic time-uniform fluctuation, stability, and contraction results on the sample covariance and sample mean (or sample error track). We focus on testable signal/observation model conditions, and we accommodate fully unstable (latent) signal models. We discuss the relevance and importance of these results in characterising the filter's behaviour, e.g. it's signal tracking performance, and we contrast these results with those in classical studies of stability in Kalman-Bucy filtering. We provide intuition for how these results extend to nonlinear signal models and comment on their consequence on some typical filter behaviours seen in practice, e.g. catastrophic divergence.

Dates and versions

hal-03033604 , version 1 (01-12-2020)

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Adrian N Bishop, Pierre del Moral. On the Mathematical Theory of Ensemble (Linear-Gaussian) Kalman-Bucy Filtering. 2020. ⟨hal-03033604⟩
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