KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Physical Sciences and Engineering (PSE) Division
Environmental Science and Engineering Program
Earth Fluid Modeling and Prediction Group
Permanent link to this recordhttp://hdl.handle.net/10754/562765
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AbstractWe 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. © 2013 Royal Meteorological Society.
SponsorsWe thank Dr M. Bocquet, Dr C. Snyder and two anonymous reviewers for their constructive and inspiring comments and suggestions. We have also benefited from useful discussions with Dr Geir Naevdal and Dr Andreas Stordal at IRIS. Luo acknowledges partial financial support from the Research Council of Norway and industrial partners through the project 'Transient well flow modelling and modern estimation techniques for accurate production allocation'.