Second-order Accurate Ensemble Transform Particle Filters

DOI10.1137/16M1095184zbMath1373.65001arXiv1608.08179MaRDI 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 estimation; nonlinear evolution equations; Bayesian inference; data assimilation; particle filter; sequential Monte Carlo methods; numerical result; ensemble Kalman filter; linear transport problem; Sinkhorn approximation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62F15: Bayesian inference

65C05: Monte Carlo methods

Related Items

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

Uses Software

• EnKF

Cites Work

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