Lawrence Berkeley National Laboratory
Interpolation and Iteration for Nonlinear Filters
- Author(s): Chorin, Alexandre J
- Tu, Xuemin
- et al.
We present a general form of the iteration and interpolation process used in implicit particle filters. Implicit filters are based on a pseudo-Gaussian representation of posterior densities, and are designed to focus the particle paths so as to reduce the number of particles needed in nonlinear data assimilation. Examples are given.