Authors
Yan Chen, Dean S Oliver
Publication date
2010/9/1
Journal
Computational Geosciences
Volume
14
Issue
4
Pages
579-601
Publisher
Springer Netherlands
Description
The ensemble Kalman filter has been successfully applied for data assimilation in very large models, including those in reservoir simulation and weather. Two problems become critical in a standard implementation of the ensemble Kalman filter, however, when the ensemble size is small. The first is that the ensemble approximation to cross-covariances of model and state variables to data can indicate the presence of correlations that are not real. These spurious correlations give rise to model or state variable updates in regions that should not be updated. The second problem is that the number of degrees of freedom in the ensemble is only as large as the size of the ensemble, so the assimilation of large amounts of precise, independent data is impossible. Localization of the Kalman gain is almost universal in the weather community, but applications of localization for the ensemble Kalman filter in porous …
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