A Stochastic Covariance Shrinkage Approach to Particle Rejuvenation in the Ensemble Transform Particle Filter

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dc.contributor.authorPopov, Andrey A.en
dc.contributor.authorSubrahmanya, Amit N.en
dc.contributor.authorSandu, Adrianen
dc.date.accessioned2022-02-27T04:03:30Zen
dc.date.available2022-02-27T04:03:30Zen
dc.date.issued2021-09-20en
dc.date.updated2022-02-27T04:03:30Zen
dc.description.abstractRejuvenation in particle filters is necessary to prevent the collapse of the weights when the number of particles is insufficient to sample the high probability regions of the state space. Rejuvenation is often implemented in a heuristic manner by the addition of stochastic samples that widen the support of the ensemble. This work aims at improving canonical rejuvenation methodology by the introduction of additional prior information obtained from climatological samples; the dynamical particles used for importance sampling are augmented with samples obtained from stochastic covariance shrinkage. The ensemble transport particle filter, and its second order variant, are extended with the proposed rejuvenation approach. Numerical experiments show that modified filters significantly improve the analyses for low dynamical ensemble sizes.en
dc.format.mimetypeapplication/pdfen
dc.identifier.orcidSandu, Adrian [0000-0002-5380-0103]en
dc.identifier.urihttp://hdl.handle.net/10919/108893en
dc.language.isoenen
dc.relation.urihttp://arxiv.org/abs/2109.09673v1en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectmath.STen
dc.subjectcs.NAen
dc.subjectmath.NAen
dc.subjectstat.THen
dc.titleA Stochastic Covariance Shrinkage Approach to Particle Rejuvenation in the Ensemble Transform Particle Filteren
dc.typeArticleen
dc.type.dcmitypeTexten
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Engineeringen
pubs.organisational-group/Virginia Tech/Engineering/Computer Scienceen
pubs.organisational-group/Virginia Tech/All T&R Facultyen
pubs.organisational-group/Virginia Tech/Engineering/COE T&R Facultyen

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