Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter

  title={Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter},
  author={Xiaodong Luo and Ibrahim Hoteit},
  journal={Monthly Weather Review},
AbstractA robust ensemble filtering scheme based on the H∞ filtering theory is proposed. 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… 
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