§Replace xk, Pk from the full KF
with an ensemble
of xk,i, i=1,É,Nens
§Add dynamic noise consistent with Qk to xk,i when propagating;
add measurement noise
consistent with Rk to measurements when
updating, initial ensemble has a spread
consistent with P0
§When needed in KF equations, Pk replaced with
§Replace matrix multiplications with sums of dot
products
§Good for non-Gaussian distributions