Particle filtering in geophysical systems

Van Leeuwen, P. J. (2009) Particle filtering in geophysical systems. Monthly Weather Review, 137 (12). pp. 4089-4114. ISSN 0027-0644 doi: 10.1175/2009MWR2835.1

Abstract/Summary

The application of particle filters in geophysical systems is reviewed. Some background on Bayesian filtering is provided, and the existing methods are discussed. The emphasis is on the methodology, and not so much on the applications themselves. It is shown that direct application of the basic particle filter (i.e., importance sampling using the prior as the importance density) does not work in high-dimensional systems, but several variants are shown to have potential. Approximations to the full problem that try to keep some aspects of the particle filter beyond the Gaussian approximation are also presented and discussed.