Bridging the ensemble Kalman filter and particle filters : the adaptive Gaussian mixture filter

@inproceedings{Stordal2010BridgingTE,
  title={Bridging the ensemble Kalman filter and particle filters : the adaptive Gaussian mixture filter},
  author={Andreas S. Stordal and Hans A. Karlsen and Geir N{\ae}vdal and Hans J. Skaug and Brice Vall{\`e}s},
  year={2010}
}
The nonlinear filtering problem occurs in many scientific areas. Sequential Monte Carlo solutions with the correct asymptotic behavior such as particle filters exist, but they are computationally too expensive when working with high-dimensional systems. The ensemble Kalman filter (EnKF) is a more robust method that has shown promising results with a small sample size, but the samples are not guaranteed to come from the true posterior distribution. By approximating the model error with a… CONTINUE READING