An Ensemble-Based Smoother with Retrospectively Updated Weights for Highly Nonlinear Systems

Chin, T. M.; Turmon, M. J.; Jewell, J. B.; Ghil, M.

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NASA NTRS · 20070032972

An Ensemble-Based Smoother with Retrospectively Updated Weights for Highly Nonlinear Systems

Chin, T. M.·Turmon, M. J.·Jewell, J. B.·Ghil, M.

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Abstract

Monte Carlo computational methods have been introduced into data assimilation for nonlinear systems in order to alleviate the computational burden of updating and propagating the full probability distribution. By propagating an ensemble of representative states, algorithms like the ensemble Kalman filter (EnKF) and the resampled particle filter (RPF) rely on the existing modeling infrastructure to approximate the distribution based on the evolution of this ensemble. This work presents an ensemble-based smoother that is applicable to the Monte Carlo filtering schemes like EnKF and RPF. At the minor cost of retrospectively updating a set of weights for ensemble members, this smoother has demonstrated superior capabilities in state tracking for two highly nonlinear problems: the double-well potential and trivariate Lorenz systems. The algorithm does not require retrospective adaptation of the ensemble members themselves, and it is thus suited to a streaming operational mode. The accuracy of the proposed backward-update scheme in estimating non-Gaussian distributions is evaluated by comparison to the more accurate estimates provided by a Markov chain Monte Carlo algorithm.

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Chin, T. M., Turmon, M. J., Jewell, J. B., Ghil, M.. 2006-07-12. An Ensemble-Based Smoother with Retrospectively Updated Weights for Highly Nonlinear Systems. https://ntrs.nasa.gov/citations/20070032972

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