UC San Diego

The implicit particle filter is a sequential Monte Carlo method for data assimilation. The idea is to focus the particles onto the high probability regions of the target probability density function (pdf) so that the number of particles required for a good approximation of this pdf remains manageable, even if the dimension of the state space is large. We explain how this idea is implemented, discuss special cases of practical importance, and work out the relations of the implicit particle filter with other data assimilation methods. We illustrate the theory with six examples.