Nonlinear Data Assimilation

Nonlinear Data Assimilation

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This book contains two review articles on nonlinear data assimilation that deal with closely related topics but were written and can be read independently. Both contributions focus on so-called particle filters. The first contribution by Jan van Leeuwen focuses on the potential of proposal densities. It discusses the issues with present-day particle filters and explorers new ideas for proposal densities to solve them, converging to particle filters that work well in systems of any dimension, closing the contribution with a high-dimensional example. The second contribution by Cheng and Reich discusses a unified framework for ensemble-transform particle filters. This allows one to bridge successful ensemble Kalman filters with fully nonlinear particle filters, and allows a proper introduction of localization in particle filters, which has been lacking up to now.A sample is drawn from a proposal density, often the prior, but instead of determining an acceptance ratio based on ... In importance sampling one generates draws from another pdf, the importance, or proposal pdf, from which it is easy to drawanbsp;...

Title:Nonlinear Data Assimilation
Author: Peter Jan Van Leeuwen, Yuan Cheng, Sebastian Reich
Publisher:Springer - 2015-07-22

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