On the Mathematical Theory of Ensemble (Linear-Gaussian) Kalman-Bucy Filtering

The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for linear-Gaussian signal models. We present a system of equations that describe the flow of individual particles and the flow of the sample covariance and the sample mean in continuous-time ensemble filtering. We consider these equations and their characteristics in a number of popular ensemble Kalman filtering variants. Given these equations, we study their asymptotic convergence to the optimal Bayesian filter. We also study in detail some non-asymptotic time-uniform fluctuation, stability, and contraction results on the sample covariance and sample mean (or sample error track). We focus on testable signal/observation model conditions, and we accommodate fully unstable (latent) signal models. We discuss the relevance and importance of these results in characterising the filter's behaviour, e.g. it's signal tracking performance, and we contrast these results with those in classical studies of stability in Kalman-Bucy filtering. We provide intuition for how these results extend to nonlinear signal models and comment on their consequence on some typical filter behaviours seen in practice, e.g. catastrophic divergence

Approximate Kalman-Bucy filter for continuous-time semi-Markov jump linear systems

The aim of this paper is to propose a new numerical approximation of the Kalman-Bucy filter for semi-Markov jump linear systems. This approximation is based on the selection of typical trajectories of the driving semi-Markov chain of the process by using an optimal quantization technique. The main advantage of this approach is that it makes pre-computations possible. We derive a Lipschitz property for the solution of the Riccati equation and a general result on the convergence of perturbed solutions of semi-Markov switching Riccati equations when the perturbation comes from the driving semi-Markov chain. Based on these results, we prove the convergence of our approximation scheme in a general infinite countable state space framework and derive an error bound in terms of the quantization error and time discretization step. We employ the proposed filter in a magnetic levitation example with markovian failures and compare its performance with both the Kalman-Bucy filter and the Markovian linear minimum mean squares estimator

The geometry of low-rank Kalman filters

An important property of the Kalman filter is that the underlying Riccati flow is a contraction for the natural metric of the cone of symmetric positive definite matrices. The present paper studies the geometry of a low-rank version of the Kalman filter. The underlying Riccati flow evolves on the manifold of fixed rank symmetric positive semidefinite matrices. Contraction properties of the low-rank flow are studied by means of a suitable metric recently introduced by the authors.Comment: Final version published in Matrix Information Geometry, pp53-68, Springer Verlag, 201

Filtering of SPDEs: The Ensemble Kalman Filter and related methods

This paper is concerned with the derivation and mathematical analysis of continuous time Ensemble Kalman Filters (EnKBFs) and related data assimilation methods for Stochastic Partial Differential Equations (SPDEs) with finite dimensional observations. The signal SPDE is allowed to be nonlinear and is posed in the standard abstract variational setting. Its coefficients are assumed to satisfy global one-sided Lipschitz conditions. We first review classical filtering algorithms in this setting, namely the Kushner--Stratonovich and the Kalman--Bucy filter, proving a law of total variance. Then we consider mean-field filtering equations, deriving both a Feedback Particle Filter and a mean-field EnKBF for nonlinear signal SPDEs. The second part of the paper is devoted to the elementary mathematical analysis of the EnKBF in this infinite dimensional setting, showing the well posedness of both the mean-field EnKBF and its interacting particle approximation. Finally we prove the convergence of the particle approximation. Under the additional assumption that the observation function is bounded, we even recover explicit and (nearly) optimal rates

Convergence of discrete time Kalman filter estimate to continuous time estimate

This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different systems, first finite dimensional and then infinite dimensional with bounded or unbounded observation operators. Finally, we derive the convergence rate in the case where the system dynamics is governed by an analytic semigroup. The proofs are based on applying the discrete time Kalman filter on a dense numerable subset of a certain time interval $[0,T]$.Comment: Author's version of the manuscript accepted for publication in International Journal of Contro

Long-time stability and accuracy of the ensemble Kalman--Bucy filter for fully observed processes and small measurement noise

The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble Kalman--Bucy filter applied to continuous-time filtering problems. We derive mean field limiting equations as the ensemble size goes to infinity as well as uniform-in-time accuracy and stability results for finite ensemble sizes. The later results require that the process is fully observed and that the measurement noise is small. We also demonstrate that our ensemble Kalman--Bucy filter is consistent with the classic Kalman--Bucy filter for linear systems and Gaussian processes. We finally verify our theoretical findings for the Lorenz-63 system

Testing quantum mechanics: a statistical approach

As experiments continue to push the quantum-classical boundary using increasingly complex dynamical systems, the interpretation of experimental data becomes more and more challenging: when the observations are noisy, indirect, and limited, how can we be sure that we are observing quantum behavior? This tutorial highlights some of the difficulties in such experimental tests of quantum mechanics, using optomechanics as the central example, and discusses how the issues can be resolved using techniques from statistics and insights from quantum information theory.Comment: v1: 2 pages; v2: invited tutorial for Quantum Measurements and Quantum Metrology, substantial expansion of v1, 19 pages; v3: accepted; v4: corrected some errors, publishe