Robust ensemble filtering and its relation to covariance inflation in the ensemble Kalman filter

by X. Luo, I. Hoteit


Robust ensemble filtering and its relation to covariance inflation in the ensemble Kalman filter
X. Luo, and I. Hoteit
Monthly Weather Review, 139, 3938-3953, 2011


​A 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 case that corresponds to the Kalman filter. The original form of the H∞ filter contains global constraints in time, which may be inconvenient for sequential data assimilation problems. Therefore a variant is introduced that solves some time-local constraints instead, and hence it is called the time-local H∞ filter (TLHF). By analogy to the ensemble Kalman filter (EnKF), the concept of ensemble time-local H∞ filter (EnTLHF) is also proposed. The general formof the EnTLHF is outlined, and some of its special cases are discussed. In particular, it is shown that an EnKF with certain covariance inflation is essentially an EnTLHF. In this sense, the EnTLHF provides a general framework for conducting covariance inflation in the EnKF-based methods. Some numerical examples are used to assess the relative robustness of the TLHF-EnTLHF in comparison with the corresponding KF-EnKF method.

DOI: 10.1175/MWR-D-10-05068.1


Ensembles Filtering Techniques Kalman Filters

"KAUST shall be a beacon for peace, hope and reconciliation, and shall serve the people of the Kingdom and the world."

King Abdullah bin Abdulaziz Al Saud, 1924 – 2015

Contact Us

  • 4700 King Abdullah University of Science and Technology

    Thuwal 23955-6900, Kingdom of Saudi Arabia

    Al-Khwarizmi Building (1)

© King Abdullah University of Science and Technology. All rights reserved