Mixture-Weighted Ensemble Kalman Filter with Quasi-Monte Carlo Transport

The Bootstrap Particle Filter (BPF) and the Ensemble Kalman Filter (EnKF) are two widely used methods for sequential Bayesian filtering: the BPF is asymptotically exact but can suffer from weight degeneracy, while the EnKF scales well in high dimension (typically with localization) yet is exact only in the linear-Gaussian case.

We combine these approaches by retaining the EnKF transport step and adding a principled importance-sampling correction.

Our first contribution is a general importance-sampling theory for mixture targets and proposals, including variance comparisons between individual- and mixture-based estimators.

We then interpret the stochastic EnKF analysis as sampling from explicit Gaussian-mixture proposals obtained by conditioning on the current or previous ensemble, which leads to six self-normalized IS-EnKF schemes.

We embed these updates into a broader class of ensemble-based filters and prove consistency and error bounds, including weight-variance comparisons and sufficient conditions ensuring finite-variance importance weights.

As a second contribution, we construct transported quasi-Monte Carlo (TQMC) point sets for the Gaussian-mixture laws arising in prediction and analysis, yielding TQMC-enhanced variants that can substantially reduce sampling error without changing the filtering pipeline.

Numerical experiments on benchmark models compare the proposed mixture-weighted and TQMC-enhanced filters, showing improved filtering accuracy relative to BPF, EnKF, and the standard weighted EnKF, and that the weighted schemes eliminate the EnKF error plateau often caused by analysis-target mismatch.