The Mean-Field Ensemble Kalman Filter: Near-Gaussian Setting
Abstract
Copyright and License
© 2024 Society for Industrial and Applied Mathematics.
Acknowledgement
We are grateful to the reviewers for very useful comments on a previous version of this paper. In particular, we thank the reviewers for pointing out the elementary inequality in Lemma A.3 and for showing us how this inequality could be used to significantly improve the proofs of Lemmas A.4, A.6, and C.1. The constructive proof of Lemma A.4, in particular, was proposed by a reviewer.
Funding
The first author was supported by the Advanced Grant Nonlocal-CPD (Nonlocal PDEs for Complex Particle Dynamics: Phase Transitions, Patterns, and Synchronization) of the European Research Council (ERC) Executive Agency under the European Union's Horizon 2020 research and innovation program (grant agreement 883363). The first author was also partially supported by the Engineering and Physical Sciences Research Council (EPSRC) under grants
EP/T022132/1 and EP/V051121/1. The second author was supported by start-up funds at the California Institute of Technology, by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) via project 390685813-GZ 2047/1-HCM, and also by NSF CAREER Award 2340762. The work of the third author was supported by a Department of Defense Vannevar Bush Faculty Fellowship and by the SciAI Center, funded by the Office of Naval Research (ONR), under grant N00014-23-1-2729. The fourth author was partially supported by the ERC under the European Union's Horizon 2020 research and innovation program (grant agreement 810367) and by the
Agence Nationale de la Recherche under grants ANR-21-CE40-0006 (SINEQ) and ANR-23-CE40-0027 (IPSO).
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Additional details
- Alternative title
- The Ensemble Kalman Filter in the Near-Gaussian Setting
- European Research Council
- 883363
- Engineering and Physical Sciences Research Council
- EP/T022132/1
- Engineering and Physical Sciences Research Council
- EP/V051121/1
- California Institute of Technology
- Deutsche Forschungsgemeinschaft
- 390685813 - GZ 2047/1 - HCM
- National Science Foundation
- DMS-2340762
- United States Department of Defense
- Vannevar Bush Faculty Fellowship
- Office of Naval Research
- N00014-23-1-272
- European Research Council
- 810367
- Agence Nationale de la Recherche
- ANR-21-CE40-0006 (SINEQ)
- Agence Nationale de la Recherche
- ANR-23-CE40-0027 (IPSO)
- Accepted
-
2024-08-26Accepted
- Publication Status
- Published