Identification

Title

Obstacles to high-dimensional particle filtering

Abstract

Particle filters are ensemble-based assimilation schemes that, unlike the ensemble Kalman filter, employ a fully nonlinear and non-Gaussian analysis step to compute the probability distribution function (pdf) of a system's state conditioned on a set of observations. Evidence is provided that the ensemble size required for a successful particle filter scales exponentially with the problem size. For the simple example in which each component of the state vector is independent, Gaussian, and of unit variance and the observations are of each state component separately with independent, Gaussian errors, simulations indicate that the required ensemble size scales exponentially with the state dimension. In this example, the particle filter requires at least 10?? members when applied to a 200-dimensional state. Asymptotic results, following the work of Bengtsson, Bickel, and collaborators, are provided for two cases: one in which each prior state component is independent and identically distributed, and one in which both the prior pdf and the observation errors are Gaussian. The asymptotic theory reveals that, in both cases, the required ensemble size scales exponentially with the variance of the observation log likelihood rather than with the state dimension per se.

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document

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http://n2t.net/ark:/85065/d7mg7pn0

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Dataset language

eng

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geoscientificInformation

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title

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reference date

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publication

effective date

2016-01-01T00:00:00Z

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publication

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2008-12-01T00:00:00Z

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Copyright 2008 American Meteorological Society (AMS). Permission to use figures, tables, and brief excerpts from this work in scientific and educational works is hereby granted provided that the source is acknowledged. Any use of material in this work that is determined to be "fair use" under Section 107 or that satisfies the conditions specified in Section 108 of the U.S. Copyright Law (17 USC, as revised by P.L. 94-553) does not require the Society's permission. Republication, systematic reproduction, posting in electronic form on servers, or other uses of this material, except as exempted by the above statements, requires written permission or license from the AMS. Additional details are provided in the AMS Copyright Policies, available from the AMS at 617-227-2425 or amspubs@ametsoc.org. Permission to place a copy of this work on this server has been provided by the AMS. The AMS does not guarantee that the copy provided here is an accurate copy of the published work.

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None

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OpenSky Support

organisation name

UCAR/NCAR - Library

full postal address

PO Box 3000

Boulder

80307-3000

email address

opensky@ucar.edu

web address

http://opensky.ucar.edu/

name: homepage

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pointOfContact

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