Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems

DOI10.1214/193940307000000518zbMath1166.93376arXiv0805.3034OpenAlexW1628268552MaRDI QIDQ3626780

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Publication date: 22 May 2009

Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.3034

zbMATH Keywords

inverse problemMonte Carlonumerical weather predictionmultivariate Cauchyensemble forecastmultivariate likelihoodsample ensemblestate-space mode

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sums of independent random variables; random walks (60G50) Inverse problems in geophysics (86A22) Sampled-data control/observation systems (93C57) Geostatistics (86A32) Meteorology and atmospheric physics (86A10) Sequential estimation (62L12) Large-scale systems (93A15)

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