Comparison and combination of EAKF and SIR-PF in the Bayesian filter framework

SHEN Zheqi; ZHANG Xiangming; TANG Youmin

doi:10.1007/s13131-015-0757-x

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Article Navigation > Acta Oceanologica Sinica > 2016 > 35(3): 69-78

SHEN Zheqi, ZHANG Xiangming, TANG Youmin. Comparison and combination of EAKF and SIR-PF in the Bayesian filter framework[J]. Acta Oceanologica Sinica, 2016, 35(3): 69-78. doi: 10.1007/s13131-015-0757-x

Citation:

SHEN Zheqi, ZHANG Xiangming, TANG Youmin. Comparison and combination of EAKF and SIR-PF in the Bayesian filter framework[J]. Acta Oceanologica Sinica, 2016, 35(3): 69-78. doi: 10.1007/s13131-015-0757-x

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Comparison and combination of EAKF and SIR-PF in the Bayesian filter framework

doi: 10.1007/s13131-015-0757-x

1.
State Key Laboratory of Satellite Ocean Environment Dynamics, Second Institute of Oceanography, State Oceanic Administration, Hangzhou 310012, China
2.
State Key Laboratory of Satellite Ocean Environment Dynamics, Second Institute of Oceanography, State Oceanic Administration, Hangzhou 310012, China;Environmental Science and Engineering, University of Northern British Columbia, Prince George V2N 4Z9, Canada

Received Date: 2015-05-15
Rev Recd Date: 2015-09-25

Abstract

Abstract

Bayesian estimation theory provides a general approach for the state estimate of linear or nonlinear and Gaussian or non-Gaussian systems. In this study, we first explore two Bayesian-based methods:ensemble adjustment Kalman filter (EAKF) and sequential importance resampling particle filter (SIR-PF), using a well-known nonlinear and non-Gaussian model (Lorenz '63 model). The EAKF, which is a deterministic scheme of the ensemble Kalman filter (EnKF), performs better than the classical (stochastic) EnKF in a general framework. Comparison between the SIR-PF and the EAKF reveals that the former outperforms the latter if ensemble size is so large that can avoid the filter degeneracy, and vice versa. The impact of the probability density functions and effective ensemble sizes on assimilation performances are also explored. On the basis of comparisons between the SIR-PF and the EAKF, a mixture filter, called ensemble adjustment Kalman particle filter (EAKPF), is proposed to combine their both merits. Similar to the ensemble Kalman particle filter, which combines the stochastic EnKF and SIR-PF analysis schemes with a tuning parameter, the new mixture filter essentially provides a continuous interpolation between the EAKF and SIR-PF. The same Lorenz '63 model is used as a testbed, showing that the EAKPF is able to overcome filter degeneracy while maintaining the non-Gaussian nature, and performs better than the EAKF given limited ensemble size.
- data assimilation,
- ensemble adjustment Kalman filter,
- particle filter,
- Bayesian estimation,
- ensemble adjustment Kalman particle filter

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