Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters

TL;DR

This paper introduces the particle Kalman filter (PKF), a nonlinear Bayesian filtering approach combining Gaussian mixtures with Kalman corrections, and proposes a computationally feasible particle ensemble Kalman filter (PEnKF) for complex data assimilation tasks.

Contribution

It develops the particle Kalman filter framework and introduces the particle EnKF, integrating Gaussian mixture models with ensemble Kalman filters for improved nonlinear filtering.

Findings

The PEnKF encompasses various EnKFs as special cases.

Resampling improves filter performance and reduces weight collapse.

Numerical experiments demonstrate effectiveness on Lorenz-96 model.

Abstract

This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that, the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. We show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an "ensemble of Kalman filters" operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, we consider the construction of the PKF through an "ensemble" of ensemble Kalman filters (EnKFs) instead, and call the implementation the particle EnKF (PEnKF). We show that different types of the EnKFs can be considered as special cases of the PEnKF. Similar to the situation in the particle filter, we also introduce a re-sampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.