Large-time behavior and accuracy of the Mean-Field Ensemble Kalman Filter in the Linear Detectable Setting

Abstract: The ensemble Kalman filter (EnKF), originally developed in the geophysical sciences, is now widely used for state and parameter estimation problems in various domains of application. It may be viewed as a robust, cheap-to-implement, alternative to the optimal, Bayesian, filter. However, despite its empirical successes, theoretical understanding of its properties, in relation to the optimal filter, is in its infancy. In this paper we contribute novel theoretical understanding, studying the behavior of the mean-field limit of the ensemble Kalman filter (MFEnKF) in the linear setting. In this setting the MFEnKF coincides with the Kalman filter itself, for Gaussian initial data. We study the MFEnKF with general, non-Gaussian, initial data. Under the assumptions of nondegeneracy of the signal noise and detectability of the signal-observation pair we make three specific contributions. First, we derive the MFEnKF via a variational approximation of the Bayes update using a covariance-weighted optimal transport metric. Secondly, we use this metric to show that the MFEnKF is a strict contraction towards the subspace of Gaussian measures, giving explicit geometric rates in terms of the covariances, in both discrete and continuous time. Finally, in the continuous-time setting, we deduce a stable form of almost sure accuracy of the MFEnKF: given any pair of (nondegenerate) initial data for the MFEnKF and the optimal filter, any uniformly continuous moments of the two filtering distributions coincide in large time, for almost every observation path.