Ensemble Kalman Methods: A Mean Field Perspective

Abstract: Ensemble Kalman methods are widely used for state estimation in the geophysical sciences. Their success stems from the fact that they take an underlying (possibly noisy) dynamical system as a black box to provide a systematic, derivative-free methodology for incorporating noisy, partial and possibly indirect observations to update estimates of the state; furthermore the ensemble approach allows for sensitivities and uncertainties to be calculated. The methodology was introduced in 1994 in the context of ocean state estimation. Soon thereafter it was adopted by the numerical weather prediction community and is now a key component of the best weather prediction systems worldwide. Furthermore the methodology is starting to be widely adopted for numerous problems in the geophysical sciences and is being developed as the basis for general purpose derivative-free inversion methods that show great promise. Despite this empirical success, analysis of the accuracy of ensemble Kalman methods, in terms of their capabilities as both state estimators and quantifiers of uncertainty, is lagging. The purpose of this paper is to provide a unifying mean field based framework for the derivation and analysis of ensemble Kalman methods. Both state estimation and parameter estimation problems (inverse problems) are considered, and formulations in both discrete and continuous time are employed. For state estimation problems, both the control and filtering approaches are considered; analogously for parameter estimation problems, the optimization and Bayesian perspectives are both studied. The mean field perspective provides an elegant framework, suitable for analysis; furthermore, a variety of methods used in practice can be derived from mean field systems by using interacting particle system approximations. The approach taken also unifies a wide-ranging literature in the field and suggests open problems.