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Abstract-Recursive Filters (RFs) are a well known way to approximate the Gaussian convolution and are intensively used in several research fields. When applied to signals with support in a finite domain, RFs can generate distortions and artifacts, mostly localized at the boundaries of the computed solution. To deal with this issue, heuristic and theoretical end conditions have been proposed in literature. However, these end conditions strategies do not consider the case in which a Gaussian RF is applied more than once, as often happens in several realistic applications. In this paper, we suggest a way to use the end conditions for such a K-iterated Gaussian RF and propose an algorithm that implements the described approach. Tests and numerical experiments show the benefit of the proposed scheme.

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Abstract-Computational kernel of the three-dimensional variational data assimilation (3D-Var) problem is a linear system, generally solved by means of an iterative method. The most costly part of each iterative step is a matrix-vector product with a very large covariance matrix having Gaussian correlation structure. This operation may be interpreted as a Gaussian convolution, that is a very expensive numerical kernel. Recursive Filters (RFs) are a well known way to approximate the Gaussian convolution and are intensively applied in the meteorology, in the oceanography and in forecast models. In this paper, we deal with an oceanographic 3D-Var data assimilation scheme, named OceanVar, where the linear system is solved by using the Conjugate Gradient (GC) method by replacing, at each step, the Gaussian convolution with RFs. Here we give theoretical issues on the discrete convolution approximation with a first order (1st-RF) and a third order (3rd-RF) recursive filters. Numerical experiments confirm given error bounds and show the benefits, in terms of accuracy and performance, of the 3-rd RF.