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    Efficient particle filtering through residual nudging

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    Type
    Article
    Authors
    Luo, Xiaodong
    Hoteit, Ibrahim cc
    KAUST Department
    Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
    Earth Fluid Modeling and Prediction Group
    Earth Science and Engineering Program
    Environmental Science and Engineering Program
    Physical Science and Engineering (PSE) Division
    Date
    2013-05-15
    Preprint Posting Date
    2013-03-11
    Online Publication Date
    2013-05-15
    Print Publication Date
    2014-01
    Embargo End Date
    2014-05-15
    Permanent link to this record
    http://hdl.handle.net/10754/562765
    
    Metadata
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    Abstract
    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.2152
    Sponsors
    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
    Wiley
    Journal
    Quarterly Journal of the Royal Meteorological Society
    DOI
    10.1002/qj.2152
    arXiv
    1303.2698
    Additional Links
    http://arxiv.org/abs/arXiv:1303.2698v1
    http://arxiv.org/pdf/1303.2698
    http://arxiv.org/pdf/1303.2698
    ae974a485f413a2113503eed53cd6c53
    10.1002/qj.2152
    Scopus Count
    Collections
    Articles; Environmental Science and Engineering Program; Physical Science and Engineering (PSE) Division; Earth Science and Engineering Program; Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division

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