Efficient particle filtering through residual nudging

by X. Luo, I. Hoteit
Year:2013

Bibliography

Efficient particle filtering through residual nudging
X. Luo and I. Hoteit
Quarterly Journal of the Royal Meteorological Society, doi:10.1002/qj.2152, 2013

Abstract

​We introduce an auxiliary technique, called residual nudging, to the particle filter to enhance its performance in cases where it performs poorly. The main idea of residual nudging is to monitor and, if necessary, adjust the residual norm of a state estimate in the observation space so that it does not exceed a pre-specified threshold. We suggest a rule to choose the pre-specified threshold, and construct a state estimate accordingly to achieve this objective. Numerical experiments suggest that introducing residual nudging to a particle filter may (substantially) improve its performance, in terms of filter accuracy and/or stability against divergence, especially when the particle filter is implemented with a relatively small number of particles.

DOI: 10.1002/qj.2152

Keywords

Data Assimilation Particle Filter Residual Nudging
KAUST

"KAUST shall be a beacon for peace, hope and reconciliation, and shall serve the people of the Kingdom and the world."

King Abdullah bin Abdulaziz Al Saud, 1924 – 2015

Contact Us

  • 4700 King Abdullah University of Science and Technology

    Thuwal 23955-6900, Kingdom of Saudi Arabia

    Al-Khwarizmi Building (1)

© King Abdullah University of Science and Technology. All rights reserved