An Iterative Ensemble Kalman Filter

The ensemble Kalman filter is a Monte Carlo method for state estimation of nonlinear models, developed as an alternative or improvement of the extended Kalman filter. In this technical note we introduce an iterative extension to the ensemble Kalman filter. Iterations are introduced to improve the estimates in the cases where the relationship between the model and observations is not linear. The iterations converge, but to a solution where the data are overfitted. An essential stopping criteria is therefore introduced for the proposed method.