Section: New Results
Sequential data assimilation: ensemble Kalman filter vs. particle filter
Participants : François Le Gland, Valérie Monbet.
See 7.4 .
Surprisingly, very little was known about the asymptotic behaviour of
the ensemble Kalman filter [38] , [39] , [40] ,
whereas on the other hand, the asymptotic behaviour of many different
classes of particle filters is well understood, as the number of particles
goes to infinity.
Interpreting the ensemble elements as a population of particles with
mean–field interactions,
and not only as an instrumental device producing an estimation
of the hidden state as the ensemble mean value, it has been possible to
prove the convergence of the ensemble Kalman filter, with a rate of
order