Particle filters in a multiscale environment: with application to the Lorenz-96 atmospheric model

DOI10.1142/S0219493711003450zbMATH Open1261.60042MaRDI QIDQ3174009FDOQ3174009

Authors: Hoong C. Yeong, Jun Hyun Park, N. Sri Namachchivaya 

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

applicationnonlinear filteringLorenz-96 modelstochastic dimensional reduction

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Averaging method for ordinary differential equations (34C29) Dynamical systems in fluid mechanics, oceanography and meteorology (37N10)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Stochastic processes and filtering theory
• Stochastic differential equations. An introduction with applications.
• A computational strategy for multiscale systems with applications to Lorenz 96 model
• Random perturbations of Hamiltonian systems
• A survey of numerical methods for nonlinear filtering problems
• Particle approximations for a class of stochastic partial differential equations
• Numerical techniques for multi-scale dynamical systems with stochastic effects
• Reduction of deterministic coupled atmosphere–ocean models to stochastic ocean models: a numerical case study of the Lorenz–Maas system
• Nonlinear filtering and measure-valued processes
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• Convergence of a Branching Particle Method to the Solution of the Zakai Equation
• Dimensional reduction in nonlinear filtering
• Particle Filters for Partially Observed Diffusions
• A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS
• Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems

Cited In (2)

• A bivariate space-time downscaler under space and time misalignment
• Random dynamical systems: addressing uncertainty, nonlinearity and predictability

Uses Software

• EnKF

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