¥Localizing covariances works because it increases the dimensionalityÉ.
¥So, one can instead compute updates in local regions where error dynamics evolves in a lower-dimensional subspace (< k).
¥(LETKF - Hunt et al, 2007)
¥
This interpretation leads
naturally to another way of solving the problem.Instead of updating the entire state vector at once,
update localized pieces where error dynamics can be described by the small
ensemble.