On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filters

Pierre Del Moral 1 Aline Kurtzmann 2 Julian Tugaut 3
1 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
3 PSPM - Probabilités, statistique, physique mathématique
ICJ - Institut Camille Jordan [Villeurbanne]
Abstract : This article is concerned with the exponential stability and the uniform propagation of chaos properties of a class of Extended Ensemble Kalman-Bucy filters with respect to the time horizon. This class of nonlinear filters can be interpreted as the conditional expectations of nonlinear McKean Vlasov type diffusions with respect to the observation process. In contrast with more conventional Langevin nonlinear drift type processes, the mean field interaction is encapsulated in the covariance matrix of the diffusion. The main results discussed in the article are quantitative estimates of the exponential stability properties of these nonlinear diffusions. These stability properties are used to derive uniform and non asymptotic estimates of the propagation of chaos properties of Extended Ensemble Kalman filters, including exponential concentration inequalities. To our knowledge these results seem to be the first results of this type for this class of nonlinear ensemble type Kalman-Bucy filters.
Document type :
Journal articles
Liste complète des métadonnées

Cited literature [25 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01337716
Contributor : Aline Kurtzmann <>
Submitted on : Monday, June 27, 2016 - 2:50:51 PM
Last modification on : Friday, March 1, 2019 - 1:10:01 AM

File

Ensemble-EKF-2016-06-27.pdf
Files produced by the author(s)

Identifiers

Citation

Pierre Del Moral, Aline Kurtzmann, Julian Tugaut. On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filters. SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2017, 55 (1), pp.119-155. ⟨10.1137/16M1087497⟩. ⟨hal-01337716⟩

Share

Metrics

Record views

494

Files downloads

90