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

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 (PF) collapse in high-dimensional problems. We explain that these seemingly contradictory statements offer insights about how PF 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 neighbourhood.

Identiferoai:union.ndltd.org:arizona.edu/oai:arizona.openrepository.com:10150/623125
Date January 2017
CreatorsMorzfeld, Matthias, Hodyss, Daniel, Snyder, Chris
ContributorsUniv Arizona, Dept Math
PublisherTAYLOR & FRANCIS LTD
Source SetsUniversity of Arizona
LanguageEnglish
Detected LanguageEnglish
TypeArticle
Rights© 2017 Informa UK Limited, trading as Taylor & Francis Group This is an Open Access article distributed under the terms of the Creative Commons Attribution License.
Relationhttp://www.tandfonline.com/doi/full/10.1080/16000870.2017.1283809

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