Efficient Kernel-based ensemble Gaussian mixture filtering

by A. Lui, B. Ait-El-Fquih, I. Hoteit


Efficient Kernel-based ensemble Gaussian mixture filtering
A. Lui, B. Ait-El-Fquih, and I. Hoteit
Monthly Weather Review, 144, 781-800, 2016


​The Bayesian filtering problem for data assimilation is considered following the kernel-based ensemble Gaussian mixture filtering (EnGMF) approach introduced by Anderson and Anderson. In this approach, the posterior distribution of the system state is propagated with the model using the ensemble Monte Carlo method, providing a forecast ensemble that is then used to construct a prior Gaussian mixture (GM) based on the kernel density estimator. This results in two update steps: a Kalman filter (KF)-like update of the ensemble members and a particle filter (PF)-like update of the weights, followed by a resampling step to start a new forecast cycle. After formulating EnGMF for any observational operator, the influence of the bandwidth parameter of the kernel function on the covariance of the posterior distribution is analyzed. Then the focus is on two aspects: (i) the efficient implementation of EnGMF with (relatively) small ensembles, where a new deterministic resampling strategy is proposed preserving the first two moments of the posterior GM to limit the sampling error; and (ii) the analysis of the effect of the bandwidth parameter on contributions of KF and PF updates and on the weights variance. Numerical results using the Lorenz-96 model are presented to assess the behavior of EnGMF with deterministic resampling, study its sensitivity to different parameters and settings, and evaluate its performance against ensemble KFs. The proposed EnGMF approach with deterministic resampling suggests improved estimates in all tested scenarios, and is shown to require less localization and to be less sensitive to the choice of filtering parameters.

DOI: 10.1175/MWR-D-14-00292.1


Bayesian Filtering Data Assimilation Efficient Implementation Ensemble-Monte Carlo Method Gaussian Mixtures

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