Communications in Applied Mathematics and Computational Science

Implicit particle filters for data assimilation

Alexandre Chorin, Matthias Morzfeld, and Xuemin Tu

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Implicit particle filters for data assimilation update the particles by first choosing probabilities and then looking for particle locations that assume them, guiding the particles one by one to the high probability domain. We provide a detailed description of these filters, with illustrative examples, together with new, more general, methods for solving the algebraic equations and with a new algorithm for parameter identification.

Article information

Commun. Appl. Math. Comput. Sci. Volume 5, Number 2 (2010), 221-240.

Received: 24 May 2010
Accepted: 19 October 2010
First available in Project Euclid: 20 December 2017

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Zentralblatt MATH identifier

Primary: 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 62M20: Prediction [See also 60G25]; filtering [See also 60G35, 93E10, 93E11]

implicit sampling data assimilation particle filter


Chorin, Alexandre; Morzfeld, Matthias; Tu, Xuemin. Implicit particle filters for data assimilation. Commun. Appl. Math. Comput. Sci. 5 (2010), no. 2, 221--240. doi:10.2140/camcos.2010.5.221.

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