Efficient particle filtering through residual nudging

Xiaodong Luo, Ibrahim Hoteit

Research output: Contribution to journalArticlepeer-review

13 Scopus citations

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.
Original languageEnglish (US)
Pages (from-to)557-572
Number of pages16
JournalQuarterly Journal of the Royal Meteorological Society
Volume140
Issue number679
DOIs
StatePublished - May 15 2013

ASJC Scopus subject areas

  • Atmospheric Science

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