Accuracy of the Ensemble Kalman Filter in the Near-Linear Setting

Abstract

SIAM Journal on Numerical Analysis, Volume 64, Issue 2, Page 391-429, April 2026.
Abstract. The filtering distribution captures the statistics of the state of a possibly stochastic dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however, they behave poorly for high dimensional problems, suffering weight collapse. This issue is circumvented by the ensemble Kalman filter, which is an equal-weights interacting particle system. However, this finite particle system is only proven to approximate the true filter in the linear Gaussian case. In practice, however, it is applied in much broader settings; as a result, establishing its approximation properties more generally is important. There has been recent progress in the theoretical analysis of the algorithm in discrete time, establishing stability and error estimates, in relation to the true filter, in non-Gaussian settings; but the assumptions on the dynamics and observation models rule out the unbounded vector fields that arise in practice, and the analysis applies only to the mean field limit of the discrete time ensemble Kalman filter. The present work establishes error bounds between the filtering distribution and the finite particle discrete time ensemble Kalman filter when the dynamics and observation vector fields may be unbounded, allowing linear growth.