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Implicit particle
filters for data assimilation
Alexandre Chorin, Matthias Morzfeld and Xuemin Tu |
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Vol. 5 (2010), No. 2, 221–240
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Abstract |
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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. |
Keywords
implicit sampling, data assimilation, particle filter
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Mathematical Subject Classification 2000
Primary: 60G35, 62M20
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Milestones
Received: 24 May 2010
Accepted: 19 October 2010
Published: 11 November 2010
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Authors |
| Alexandre Chorin | |
| Department of Mathematics University of California, Berkeley Berkeley, CA 94720 United States |
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| http://math.berkeley.edu/~chorin | |
| Matthias Morzfeld | |
| Department of Mechanical
Engineering University of California Berkeley, CA 94720 United States |
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| Xuemin Tu | |
| Department of Mathematics University of Kansas 1460 Jayhawk Boulevard Lawrence, KS 66045 United States |
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| http://math.ku.edu/~xtu | |
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