Bridging the ensemble Kalman and particle filter

Abstract

In many applications of Monte Carlo nonlinear filtering, the propagation step is computationally expensive, and hence, the sample size is limited. With small sample sizes, the update step becomes crucial. Particle filtering suffers from the well-known problem of sample degeneracy. Ensemble Kalman filtering avoids this, at the expense of treating non-Gaussian features of the forecast distribution incorrectly. Here we introduce a procedure which makes a continuous transition indexed by gamma in [0,1] between the ensemble and the particle filter update. We propose automatic choices of the parameter gamma such that the update stays as close as possible to the particle filter update subject to avoiding degeneracy. In various examples, we show that this procedure leads to updates which are able to handle non-Gaussian features of the prediction sample even in high-dimensional situations.

References in corpus (3)

• Recursive Monte Carlo filters: Algorithms and theoretical analysis
• Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters
• Implicit particle filtering for models with partial noise, and an application to geomagnetic data assimilation

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• A local ensemble transform Kalman particle filter for convective scale data assimilation
• A scalable optimal-transport based local particle filter
• Particle filters for high-dimensional geoscience applications: a review
• A defensive marginal particle filtering method for data assimilation