Lp-Iterative Ensemble Kalman Filter (Lp-IEKF)

Lp-IEKF is the regularized version of Iterative Ensemble Kalman Filter (IEKF), a famous nonlinear optimization method. It estimates the parameter of a nonlinear model under sparsity assumption, i.e., only few components of the parameter are nonzero. Furthermore, for a mildly nonlinear model, it builds approximate credible intervals for the estimate. This is a python code repository to reproduce the numerical results in the Section 4 of Lp-IEKF paper: https://arxiv.org/abs/2205.09322.