A Knowledge-Aided Robust Ensemble Kalman Filter Algorithm for Non-Linear and Non-Gaussian Large Systems

This work proposes a robust and non-Gaussian version of the shrinkage-based knowledge-aided EnKF implementation called Ensemble Time Local H_∞ Filter Knowledge-Aided (EnTLHF-KA). The EnTLHF-KA requires a target covariance matrix to integrate previously obtained information and knowledge directly into the data assimilation (DA). The...