Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*
Abstract
This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that, the standard weighttype correction in the particle filter is complemented by the Kalmantype correction with the associated covariance matrices in the Gaussian mixture. We show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an "ensemble of Kalman filters" operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, we consider the construction of the PKF through an "ensemble" of ensemble Kalman filters (EnKFs) instead, and call the implementation the particle EnKF (PEnKF). We show that different types of the EnKFs can be considered as special cases of the PEnKF. Similar to the situation in the particle filter, we also introduce a resampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz96 model are presented and discussed.
 Publication:

Monthly Weather Review
 Pub Date:
 February 2012
 DOI:
 10.1175/2011MWR3640.1
 arXiv:
 arXiv:1108.0168
 Bibcode:
 2012MWRv..140..528H
 Keywords:

 Physics  Data Analysis;
 Statistics and Probability
 EPrint:
 Accepted manuscript, to appear in Monthly Weather Review