论文标题
具有无限的非线性系数的集合Kalman-Bucy滤波器的推导
Derivation of Ensemble Kalman-Bucy Filters with unbounded nonlinear coefficients
论文作者
论文摘要
在非线性，无界模型和观察算子的情况下，我们提供了集合Kalman-Bucy滤波器的严格推导以及集合转换Kalman-Bucy滤波器。我们将它们确定为离散时间集合KALMAN滤波器和集合方形根过滤器的连续时间限制，以及与离散级别大小有关的具体收敛速率。同时，我们建立了连续时间和离散时间过滤算法的良好和精度。
We provide a rigorous derivation of the Ensemble Kalman-Bucy Filter as well as the Ensemble Transform Kalman-Bucy Filter in case of nonlinear, unbounded model and observation operators. We identify them as the continuous time limit of the discrete-time Ensemble Kalman Filter and the Ensemble Square Root Filters, respectively, together with concrete convergence rates in terms of the discretization step size. Simultaneously, we establish well-posedness as well as accuracy of both the continuous-time and the discrete-time filtering algorithms.
