3 papers
stat.ME2022
Unbiased Estimation of the Vanilla and Deterministic Ensemble Kalman-Bucy Filters
Miguel Alvarez, Neil K. Chada, Ajay Jasra
In this article we consider the development of an unbiased estimator for the ensemble Kalman--Bucy filter (EnKBF). The EnKBF is a continuous-time filtering methodology which can be…
math.NA2022
On a Dynamic Variant of the Iteratively Regularized Gauss-Newton Method with Sequential Data
Neil K. Chada, Marco A. Iglesias, Shuai Lu +1
For numerous parameter and state estimation problems, assimilating new data as they become available can help produce accurate and fast inference of unknown quantities. While most…
math.NA2022
A Review of the EnKF for Parameter Estimation
Neil K. Chada
The ensemble Kalman filter is a well-known and celebrated data assimilation algorithm. It is of particular relevance as it used for high-dimensional problems, by updating an ensemb…