Type
ArticleAuthors
Luo, XiaodongHoteit, Ibrahim

KAUST Department
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) DivisionEarth Fluid Modeling and Prediction Group
Earth Science and Engineering Program
Environmental Science and Engineering Program
Physical Science and Engineering (PSE) Division
Date
2013-05-15Preprint Posting Date
2013-03-11Online Publication Date
2013-05-15Print Publication Date
2014-01Embargo End Date
2014-05-15Permanent link to this record
http://hdl.handle.net/10754/562765
Metadata
Show full item recordAbstract
We 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.Citation
Luo, X., & Hoteit, I. (2013). Efficient particle filtering through residual nudging. Quarterly Journal of the Royal Meteorological Society, 140(679), 557–572. doi:10.1002/qj.2152Sponsors
We 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'.Publisher
WileyDOI
10.1002/qj.2152arXiv
1303.2698Additional Links
http://arxiv.org/abs/arXiv:1303.2698v1http://arxiv.org/pdf/1303.2698
http://arxiv.org/pdf/1303.2698
ae974a485f413a2113503eed53cd6c53
10.1002/qj.2152