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

Matthias Morzfeld; Daniel Hodyss; Chris Snyder

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arXiv · 1512.03720

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

Matthias Morzfeld·Daniel Hodyss·Chris Snyder

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Abstract

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 collapse in high-dimensional problems. We explain that these seemingly contradictory statements offer insights about how particle filters 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 neighborhood.

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Matthias Morzfeld, Daniel Hodyss, Chris Snyder. 2015-12-11. What the collapse of the ensemble Kalman filter tells us about particle filters. https://arxiv.org/abs/1512.03720

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