A nested sampling particle filter for nonlinear data assimilation

​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 the representation of 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 distribution to obtain particles in high-likelihood regions of the search space, resulting in a reduction of the number of particles required for an efficient behaviour of particle filters. Numerical experiments with the 3-dimensional Lorenz63 and the 40-dimensional Lorenz96 models show that NSPF outperforms PF in accuracy with a relatively smaller number of particles.

DOI: 10.1002/qj.2245