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      What the collapse of the ensemble Kalman filter tells us about particle filters

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          Abstract

          The ensemble Kalman filter (EnKF) is a reliable data assimilation tool for high-dimensional meteorological problems. On the other hand, the EnKF can be interpreted as a particle filter, and particle filters collapse in high-dimensional problems. We explain that these seemingly contradictory statements offer insights about how particle filters function in certain high-dimensional problems, and in particular support recent efforts in meteorology to "localize" particle filters, i.e., to restrict the influence of an observation to its neighborhood.

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          Author and article information

          Journal
          2015-12-11
          2016-05-31
          Article
          1512.03720
          3d6548d7-15a7-4b51-92ff-0523e16f4900

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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          math.NA stat.CO

          Numerical & Computational mathematics,Mathematical modeling & Computation

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