A Conjugate Gradient Formulation of the EnKF Algorithm (opens in new tab)

Ensemble Kalman Filter (EnKF) based data assimilation algorithms synthesize predictive numerical forecast models with accumulated data as time evolves and account for model uncertainty and noisy measurements. The computational cost of these algorithms can be expensive, in particular for highly dimensional dynamical systems. Often, EnKF based algorithms have traded accuracy for reduced computational cost. In this paper, we present a novel paralle...