The mean-field ensemble Kalman filter: near-Gaussian setting

Journal article

The ensemble Kalman filter is widely used in applications because, for high-dimensional filtering problems, it has a robustness that is not shared, for example, by the particle filter; in particular, it does not suffer from weight collapse. However, there is no theory which quantifies its accuracy as an approximation of the true filtering distribution, except in the Gaussian setting. To address this issue, we provide the first analysis of the accuracy of the ensemble Kalman filter beyond the Gaussian setting. We prove two types of results: The first type comprises a stability estimate controlling the error made by the ensemble Kalman filter in terms of the difference between the true filtering distribution and a nearby Gaussian, and the second type uses this stability result to show that, in a neighborhood of Gaussian problems, the ensemble Kalman filter makes a small error in comparison with the true filtering distribution. Our analysis is developed for the mean-field ensemble Kalman filter. We rewrite the update equations for this filter and for the true filtering distribution in terms of maps on probability measures. We introduce a weighted total variation metric to estimate the distance between the two filters, and we prove various stability estimates for the maps defining the evolution of the two filters in this metric. Using these stability estimates, we prove results of the first and second types in the weighted total variation metric. We also provide a generalization of these results to the Gaussian projected filter, which can be viewed as a mean-field description of the unscented Kalman filter.

Authors: Carrillo, JA; Hoffmann, F; Stuart, AM; Vaes, U

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Society for Industrial and Applied Mathematics
• Journal: SIAM Journal on Numerical Analysis
• Volume: 62
• Issue: 6
• Pages: 2549-2587
• Publication date: 2022-12-26
• Acceptance date: 2024-08-27
• DOI: 10.1137/24M1628207
• EISSN: 1095-7170
• ISSN: 0036-1429
• Language: English
• Keywords: stochastic filtering; near-Gaussian setting; weighted total variation metric; FFR; stability estimates; ensemble Kalman filter; accuracy estimates