Efficient particle filtering through residual nudging

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

Acknowledgements
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:1303.2698v1http://arxiv.org/pdf/1303.2698http://arxiv.org/pdf/1303.2698

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