Second-order Accurate Ensemble Transform Particle Filters

DOI10.1137/16M1095184zbMath1373.65001arXiv1608.08179OpenAlexW2963741795MaRDI QIDQ5357966

Jana de Wiljes, Walter Acevedo, Sebastian Reich

Publication date: 18 September 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08179

zbMATH Keywords

parameter estimationnonlinear evolution equationsBayesian inferencedata assimilationparticle filtersequential Monte Carlo methodsnumerical resultensemble Kalman filterlinear transport problemSinkhorn approximation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (6)

Coupling Techniques for Nonlinear Ensemble Filtering ⋮ Comparison of regularized ensemble Kalman filter and tempered ensemble transform particle filter for an elliptic inverse problem with uncertain boundary conditions ⋮ A Seamless Multilevel Ensemble Transform Particle Filter ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Ensemble Transform Algorithms for Nonlinear Smoothing Problems ⋮ Data assimilation: The Schrödinger perspective

Uses Software

• EnKF

Cites Work

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