Cover Image

Exact affine conditioning beyond Gaussians: a unique characterization of the ensemble Kalman update

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Jorgensen, Frederic J. N., Marzouk, Youssef M.
Format:	Preprint
Published:	2025
Subjects:	Statistics Theory Numerical Analysis Optimization and Control Probability 65C35, 62F15, 93E11 G.3; I.6.5
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The Mean Field Ensemble Kalman Filter: Near-Gaussian Setting
by: Carrillo, J. A., et al.
Published: (2022)

Statistical accuracy of the ensemble Kalman filter in the near-linear setting
by: Calvello, E., et al.
Published: (2025)

Importance sampling for rare event tracking within the ensemble Kalman filtering framework
by: Rached, Nadhir Ben, et al.
Published: (2024)

On the mean field theory of Ensemble Kalman filters for SPDEs
by: Ertel, Sebastian
Published: (2023)

Analysis of the Ensemble Kalman--Bucy Filter for correlated observation noise
by: Ertel, Sebastian, et al.
Published: (2022)

A Stochastic Iteratively Regularized Gauss-Newton Method
by: Bergou, El Houcine, et al.
Published: (2024)

Uniform error bounds of the ensemble transform Kalman filter for infinite-dimensional dynamics with multiplicative covariance inflation
by: Takeda, Kota, et al.
Published: (2024)

Tikhonov Regularization Within Ensemble Kalman Inversion
by: Chada, Neil K., et al.
Published: (2019)

A Continuous-Time Ensemble Kalman-Bucy Smoother for Causal Inference and Model Discovery
by: Jiang, Zhang, et al.
Published: (2026)

Model error moment estimation via data assimilation
by: Browne, P. A.
Published: (2016)

Statistical Accuracy of Approximate Filtering Methods
by: Carrillo, J. A., et al.
Published: (2024)

On the Convergence Analysis of Yau-Yau Nonlinear Filtering Algorithm: from a Probabilistic Perspective
by: Sun, Zeju, et al.
Published: (2024)

Particle-based algorithm for stochastic optimal control
by: Reich, Sebastian
Published: (2023)

Steady State Distributed Kalman Filter
by: Rego, Francisco
Published: (2026)

Consistency of MLE in partially observed diffusion models on a torus
by: Ekren, Ibrahim, et al.
Published: (2024)

A Probabilistic Approach to Trajectory-Based Optimal Experimental Design
by: Attia, Ahmed
Published: (2026)

Model reduction for fully nonlinear stochastic systems
by: Redmann, Martin
Published: (2025)

Stochastic algebraic Riccati equations are almost as easy as deterministic ones theoretically
by: Guo, Zhen-Chen, et al.
Published: (2022)

A localized particle filter for geophysical data assimilation
by: Crisan, Dan, et al.
Published: (2025)

Filtering and 1/3 Power Law for Optimal Time Discretisation in Numerical Integration of Stochastic Differential Equations
by: Vladimirov, Igor G.
Published: (2025)

Dimension reduction for large-scale stochastic systems with non-zero initial states and controlled diffusion
by: Redmann, Martin
Published: (2024)

An optimal experimental design approach to sensor placement in continuous stochastic filtering
by: Pathiraja, Sahani, et al.
Published: (2025)

The Ensemble Kalman Update is an Empirical Matheron Update
by: MacKinlay, Dan
Published: (2025)

An Improved Yau-Yau Algorithm for High Dimensional Nonlinear Filtering Problems
by: Yau, Shing-Tung, et al.
Published: (2025)

Finite Difference Method for Global Stabilization of the Viscous Burgers' Equation with Nonlinear Neumann Boundary Feedback Control
by: Singh, Shishu Pal, et al.
Published: (2025)

An ensemble Kalman approach to randomized maximum likelihood estimation
by: Stavrinides, Pavlos, et al.
Published: (2025)

Ensemble Variational Fokker-Planck Methods for Data Assimilation
by: Subrahmanya, Amit N, et al.
Published: (2021)

An iterated $I$-projection procedure for solving the generalized minimum information checkerboard copula problem
by: Kojadinovic, Ivan, et al.
Published: (2025)

Gaussian Approximation and Multiplier Bootstrap for Stochastic Gradient Descent
by: Sheshukova, Marina, et al.
Published: (2025)

Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
by: Negyesi, Balint, et al.
Published: (2024)

Posterior contraction rates of computational methods for Bayesian data assimilation
by: Burman, Erik, et al.
Published: (2025)

Numerical approximations for partially observed optimal control of stochastic partial differential equations
by: Bao, Feng, et al.
Published: (2025)

A stochastic Galerkin method for optimal Dirichlet boundary control problems with uncertain data
by: Winkler, Max, et al.
Published: (2025)

Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation
by: Rached, Nadhir Ben, et al.
Published: (2022)

A geometric ensemble method for Bayesian inference
by: Popov, Andrey A
Published: (2025)

Tracking controllability on moving targets for parabolic equations
by: Apraiz, Jone, et al.
Published: (2026)

On The Variance of Schatten $p$-Norm Estimation with Gaussian Sketching Matrices
by: Horesh, Lior, et al.
Published: (2024)

Analysis and conditional optimization of projection estimates for distribution of random variable using Legendre polynomials
by: Averina, Tatyana A., et al.
Published: (2025)

Duality and DeepMartingale for High-Dimensional Optimal Switching: Computable Upper Bounds and Approximation-Expressivity Guarantees
by: Ye, Junyan, et al.
Published: (2026)

A Penalty Method for Non-Self-Adjoint Topology Optimization
by: Gong, Wei, et al.
Published: (2026)