Particle filters for infinite-dimensional systems: combining localization and optimal transportation

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• Reich, S (Universitt Potsdam)
• Tuesday 22 April 2014, 14:20-14:55
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact Mustapha Amrani.

Advanced Monte Carlo Methods for Complex Inference Problems

Co-author: Yuan Cheng (University of Potsdam)

Particle filters or sequential Monte Carlo methods are powerful tools for adjusting model state to data. However they suffer from the curse of dimensionality and have not yet found wide-spread application in the context of spatio-temporal evolution models. On the other hand, the ensemble Kalman filter with its simple Gaussian approximation has successfully been applied to such models using the concept of localization. Localization allows one to account for a spatial decay of correlation in a filter algorithm. In my talk, I will propose novel particle filter implementations which are suitable for localization and, as the ensemble Kalman filter, fit into the broad class of linear transform filters. In case of a particle filter this transformation will be determined by ideas from optimal transportation while in case of the ensemble Kalman filter one essentially relies on the linear Kalman update formulas. This common framework also allows for a mixture of particle and ensemble Kalman filters. Numerical results will be provided for the Lorenz-96 model which is a crude model for nonlinear advection.

This talk is part of the Isaac Newton Institute Seminar Series series.

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