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PCE-EnKF for Lorenz 63 in MATLAB

PCE-EnKF base on Donbin Xiu's paper "A Generalized Polynomial Chaos Based Ensemble Kalman Filter"

How to run:

  1. Open lorenz_63_EnKF.m
  2. Edit Q/R/Q_init/nbv/v0 to desired value
  3. Run and generate figures