Online state and time‐varying parameter estimation using the implicit equal‐weights particle filter

Satoh, M. ORCID: https://orcid.org/0000-0002-2312-0051, Van Leeuwen, P. J. ORCID: https://orcid.org/0000-0003-2325-5340 and Nakano, S.'y. ORCID: https://orcid.org/0000-0003-0772-4610 (2024) Online state and time‐varying parameter estimation using the implicit equal‐weights particle filter. Quarterly Journal of the Royal Meteorological Society. ISSN 1477-870X doi: 10.1002/qj.4698

Abstract/Summary

A method is proposed for resilient and efficient estimation of the states and time‐varying parameters in nonlinear high‐dimensional systems through a sequential data assimilation process. The importance of estimating time‐varying parameters lies not only in improving prediction accuracy but also in determining when model characteristics change. We propose a particle‐filter‐based method that incorporates nudging techniques inspired by optimization algorithms in machine learning by taking advantage of the flexibility of the proposal density in particle filtering. However, as the model resolution and number of observations increase, filter degeneracy tends to be the obstacle to implementing the particle filter. Therefore, this proposed method is combined with the implicit equal‐weights particle filter (IEWPF), in which all particle weights are equal. The method is validated using the 1000‐dimensional linear model with an additive parameter and the 1000‐dimensional Lorenz‐96 model, where the forcing term is parameterized. The method is shown to be capable of resilient and efficient parameter estimation for parameter changes over time in our application with a linear observation operator. This leads to the conjecture that it applies to realistic geophysical, climate, and other problems.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/115935
Identification Number/DOI	10.1002/qj.4698
Refereed	Yes
Divisions	Science > School of Mathematical, Physical and Computational Sciences > National Centre for Earth Observation (NCEO) Science > School of Mathematical, Physical and Computational Sciences > Department of Meteorology
Uncontrolled Keywords	Atmospheric Science
Publisher	Wiley
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