Implicit particle filters for data assimilation

DOI10.2140/CAMCOS.2010.5.221zbMATH Open1229.60047arXiv1005.4002OpenAlexW2964103113MaRDI QIDQ616006FDOQ616006

Alexandre J. Chorin, Matthias Morzfeld, Xuemin Tu

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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zbMATH Keywords

samplingdata assimilationparticle filterstochastic differential equationimplicit filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

Cited In (34)

• Nudging the particle filter
• Sampling, feasibility, and priors in data assimilation
• An improved framework for the dynamic likelihood filtering approach to data assimilation
• Implicit estimation of ecological model parameters
• Bayesian inference with optimal maps
• Improved particle filters for multi-target tracking
• Accuracy and stability of filters for dissipative PDEs
• Efficient estimation of hydraulic conductivity heterogeneity with non-redundant measurement information
• Transport Map Accelerated Markov Chain Monte Carlo
• 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
• Sequential Implicit Sampling Methods for Bayesian Inverse Problems
• Bayesian Inverse Problems with $l_1$ Priors: A Randomize-Then-Optimize Approach
• Implicit sampling for hierarchical Bayesian inversion and applications in fractional multiscale diffusion models
• A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
• Balanced data assimilation for highly oscillatory mechanical systems
• Particle filtering in high-dimensional chaotic systems
• A Guided Sequential Monte Carlo Method for the Assimilation of Data into Stochastic Dynamical Systems
• Symmetrized importance samplers for stochastic differential equations
• Accuracy of Some Approximate Gaussian Filters for the Navier--Stokes Equation in the Presence of Model Error
• 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
• Qualitative Robustness in Bayesian Inference
• A Defensive Marginal Particle Filtering Method for Data Assimilation
• A random map implementation of implicit filters
• Iterative Importance Sampling Algorithms for Parameter Estimation
• Limitations of polynomial chaos expansions in the Bayesian solution of 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
• Scalable Optimization-Based Sampling on Function Space

Uses Software

• EnKF

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