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On a nonlinear Kalman filter with simplified divided difference approximation

Abstract:

We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling's interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling's interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the a...

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Publisher copy:
10.1016/j.physd.2011.12.003

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
Physica D: Nonlinear Phenomena More from this journal
Volume:
241
Issue:
6
Pages:
671-680
Publication date:
2012-03-15
DOI:
ISSN:
0167-2789
Language:
English
Keywords:
Pubs id:
pubs:313798
UUID:
uuid:f9d56dc3-b5b8-4d7b-9df2-139d0d6fab77
Local pid:
pubs:313798
Source identifiers:
313798
Deposit date:
2013-02-20

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