Constrained state estimation using the ensemble Kalman filter

Abstract

Recursive estimation of constrained nonlinear dynamical systems has attracted the attention of many researchers in recent years. In this work, we propose a constrained recursive formulation of the ensemble Kalman filter (CEnKF) that retains the advantages of unconstrained Ensemble Kalman Filter while systematically dealing with bounds on the estimated states. The efficacy of the proposed constrained state estimation algorithm using the EnKF is illustrated by application on a simulated gas-phase reactor problem.