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Title: A survey of implicit particle filters for data assimilation [Implicit particle filters for data assimilation]

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.

Authors:
 [1];  [2];  [3]
  1. Univ. of California, Berkeley, CA (United States); Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
  2. Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
  3. Univ. of Kansas, Lawrence, KS (United States)
Publication Date:
Research Org.:
Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
Sponsoring Org.:
USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR) (SC-21)
OSTI Identifier:
1407165
DOE Contract Number:  
AC02-05CH11231
Resource Type:
Book
Resource Relation:
Related Information: Book Title: State-Space Models: Applications in Economics and Finance
Country of Publication:
United States
Language:
English
Subject:
72 PHYSICS OF ELEMENTARY PARTICLES AND FIELDS

Citation Formats

Chorin, Alexandre J., Morzfeld, Matthias, and Tu, Xuemin. A survey of implicit particle filters for data assimilation [Implicit particle filters for data assimilation]. United States: N. p., 2013. Web. doi:10.1007/978-1-4614-7789-1_3.
Chorin, Alexandre J., Morzfeld, Matthias, & Tu, Xuemin. A survey of implicit particle filters for data assimilation [Implicit particle filters for data assimilation]. United States. doi:10.1007/978-1-4614-7789-1_3.
Chorin, Alexandre J., Morzfeld, Matthias, and Tu, Xuemin. Fri . "A survey of implicit particle filters for data assimilation [Implicit particle filters for data assimilation]". United States. doi:10.1007/978-1-4614-7789-1_3. https://www.osti.gov/servlets/purl/1407165.
@article{osti_1407165,
title = {A survey of implicit particle filters for data assimilation [Implicit particle filters for data assimilation]},
author = {Chorin, Alexandre J. and Morzfeld, Matthias and Tu, Xuemin},
abstractNote = {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.},
doi = {10.1007/978-1-4614-7789-1_3},
journal = {},
number = ,
volume = ,
place = {United States},
year = {Fri Jul 05 00:00:00 EDT 2013},
month = {Fri Jul 05 00:00:00 EDT 2013}
}

Book:
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