Implicit particle filters for data assimilation
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Publication:616006
DOI10.2140/CAMCOS.2010.5.221zbMATH Open1229.60047arXiv1005.4002OpenAlexW2964103113MaRDI QIDQ616006FDOQ616006
Authors: Matthias Morzfeld, Xuemin Tu, Alexandre J. Chorin 
Publication date: 7 January 2011
Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)
Abstract: Implicit particle filters for data assimilation update the particles by first choosing probabilities and then looking for particle locations that assume them, guiding the particles one by one to the high probability domain. We provide a detailed description of these filters, with illustrative examples, together with new, more general, methods for solving the algebraic equations and with a new algorithm for parameter identification.
Full work available at URL: https://arxiv.org/abs/1005.4002
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Cited In (44)
- Nudging the particle filter
- Data assimilation for models with parametric uncertainty
- Sampling, feasibility, and priors in data assimilation
- Efficient particle filtering for stochastic Korteweg-de Vries equations
- An improved framework for the dynamic likelihood filtering approach to data assimilation
- Implicit estimation of ecological model parameters
- Iterative convolution particle filtering for nonlinear parameter estimation and data assimilation with application to crop yield prediction
- Accuracy of some approximate Gaussian filters for the Navier-Stokes equation in the presence of model error
- Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation
- Bayesian inference with optimal maps
- Improved particle filters for multi-target tracking
- Parameter estimation by implicit sampling
- Qualitative robustness in Bayesian inference
- Accuracy and stability of filters for dissipative PDEs
- Iterative importance sampling algorithms for parameter estimation
- Efficient estimation of hydraulic conductivity heterogeneity with non-redundant measurement information
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Implicit sampling, with application to data assimilation
- Model and data reduction for data assimilation: particle filters employing projected forecasts and data with application to a shallow water model
- A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters
- Implicit sampling for hierarchical Bayesian inversion and applications in fractional multiscale diffusion models
- Balanced data assimilation for highly oscillatory mechanical systems
- Particle filtering in high-dimensional chaotic systems
- Symmetrized importance samplers for stochastic differential equations
- Image data assimilation with filtering methods
- Small-noise analysis and symmetrization of implicit Monte Carlo samplers
- Implicit sampling, with application to data assimilation
- An ensemble score filter for tracking high-dimensional nonlinear dynamical systems
- Minimization for conditional simulation: relationship to optimal transport
- Testing a particle filter to reconstruct climate changes over the past centuries
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
- A Defensive Marginal Particle Filtering Method for Data Assimilation
- A random map implementation of implicit filters
- Limitations of polynomial chaos expansions in the Bayesian solution of inverse problems
- Bayesian inverse problems with \(l_1\) priors: a randomize-then-optimize approach
- Sequential implicit sampling methods for Bayesian inverse problems
- Deterministic mean-field ensemble Kalman filtering
- A bimodality trap in model projections
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Implicit particle filtering \textit{via} a bank of nonlinear Kalman filters
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Scalable Optimization-Based Sampling on Function Space
- A guided sequential Monte Carlo method for the assimilation of data into stochastic dynamical systems
- Transport map accelerated Markov chain Monte Carlo
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