A nested sampling particle filter for nonlinear data assimilation

Ahmed H. Elsheikh, Ibrahim Hoteit, Mary F. Wheeler

    Research output: Contribution to journalArticle

    4 Citations (Scopus)

    Abstract

    We present an efficient nonlinear data assimilation filter that combines particle filtering with the nested sampling algorithm. Particle filters (PF) utilize a set of weighted particles as a discrete representation of probability distribution functions (PDF). These particles are propagated through the system dynamics and their weights are sequentially updated based on the likelihood of the observed data. Nested sampling (NS) is an efficient sampling algorithm that iteratively builds a discrete representation of the posterior distributions by focusing a set of particles to high likelihood regions. This would allow representing the posterior PDF with a smaller number of particles and reduce the effects of the curse of dimensionality. The proposed nested sampling particle filter (NSPF) iteratively builds the posterior distribution by applying a constrained sampling from the prior to obtain particles in high likelihood regions of the search space, resulting in a reduction of the number of particles required for an efficient behavior of particle filters. Numerical experiments with the 3-dimensional Lorenz63 and the 40-dimensional Lorenz96 models show that NSPF outperforms PF in accuracy with relatively smaller number of particles.
    Original languageEnglish
    Pages (from-to)1640-1653
    Number of pages14
    JournalQuarterly Journal of the Royal Meteorological Society
    Volume140
    Issue number682
    Early online date15 Apr 2014
    DOIs
    Publication statusPublished - Jul 2014

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