Long-time stability and accuracy of ensemble transform filter algorithms (A02)

• Subject Area: Mathematics
• Term: since 2017
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 318763901

Sequential Monte Carlo (SMC) methods provide a standard tool for sequential state and parameter estimation. However, SMC methods are applicable only to low dimensional problems in practice. Recently, other sequential algorithms that circumvent this limitation - such as the ensemble Kalman filter (EnKF) - have become available. However, their theoretical properties are poorly understood. In this project, we will study the long-time stability and accuracy of the EnKF and related ensemble transform filter algorithms.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 1294: Data Assimilation – The Seamless Integration of Data and Models
• Applicant Institution: Universität Potsdam
• Project Heads: Professor Dr.-Ing. Sebastian Reich; Professor Dr. Wilhelm Stannat; Professorin Dr. Jana De Wiljes