An Optimal Transport Formulation of the Ensemble Kalman Filter - Taghvaei, Amirhossein; Mehta, Prashant G. (IEEE transactions on automatic control, 2021)
Keywords: Algorithms; Approximation algorithms; Control systems; Control theory; Convergence; Empirical equations; Error analysis; Feedback control; Filtering algorithms; Importance sampling; Kalman filter; Kalman filters; Monte Carlo methods; Optimal control; stochastic processes; Symmetric matrices; Transportation problem