Institute of Information Theory and Automation

You are here

Bibliography

Journal Article

Marginalized Particle Filtering Framework for Tuning of Ensemble Filters

Šmídl Václav, Hofman Radek

: Monthly Weather Review vol.139, 11 (2011), p. 3589-3599

: CEZ:AV0Z10750506

: VG20102013018, GA MV, GP102/08/P250, GA ČR

: ensemble finter, marginalized particle filter, data assimilation

: 10.1175/2011MWR3586.1

: http://library.utia.cas.cz/separaty/2011/AS/smidl-0367533.pdf

(eng): Marginalized particle ltering (MPF), also known as Rao-Blackwellized particle filtering has been recently developed as a hybrid method combining analytical lters with particle filters. In this paper, we investigate the prospects of this approach in enviromental modelling where the key concerns are nonlinearity, high-dimensionality, and computational cost. In our formulation, exact marginalization in the MPF is replaced by approximate marginalization yielding a framework for creation of new hybrid lters. In particular, we propose to use the MPF framework for on-line tuning of nuisance parameters of ensemble filters. Strength of the framework is demonstrated on the joint estimation of the inflation factor, the measurement error variance and the length-scale parameter of covariance localization. It is shown that accurate estimation can be achieved with a moderate number of particles. Moreover, this result was achieved with naively chosen proposal densities leaving space for further improvements.

: BB

2019-01-07 08:39