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An exploration of the equivalent weights particle filter

Ades, M. and Van Leeuwen, P. J. (2013) An exploration of the equivalent weights particle filter. Quarterly Journal of the Royal Meteorological Society, 139 (672 part A). pp. 820-840. ISSN 1477-870X

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To link to this article DOI: 10.1002/qj.1995

Abstract/Summary

Particle filters are fully non-linear data assimilation techniques that aim to represent the probability distribution of the model state given the observations (the posterior) by a number of particles. In high-dimensional geophysical applications the number of particles required by the sequential importance resampling (SIR) particle filter in order to capture the high probability region of the posterior, is too large to make them usable. However particle filters can be formulated using proposal densities, which gives greater freedom in how particles are sampled and allows for a much smaller number of particles. Here a particle filter is presented which uses the proposal density to ensure that all particles end up in the high probability region of the posterior probability density function. This gives rise to the possibility of non-linear data assimilation in large dimensional systems. The particle filter formulation is compared to the optimal proposal density particle filter and the implicit particle filter, both of which also utilise a proposal density. We show that when observations are available every time step, both schemes will be degenerate when the number of independent observations is large, unlike the new scheme. The sensitivity of the new scheme to its parameter values is explored theoretically and demonstrated using the Lorenz (1963) model.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Meteorology
ID Code:35770
Publisher:Royal Meteorological Society

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