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Particle filters in highly nonlinear high-dimensional systems

van Leeuwen, P (University of Reading)
Tuesday 13 December 2011, 14:30-15:00

Seminar Room 1, Newton Institute


Bayes theorem formulates the data-assimilation problem as a multiplication problem and not an inverse problem. In this talk we exploit that using an extremely efficient particle filter on a highly nonlinear geophysical fluid flow problem of dimension 65,000. We show how collapse of the particles can be avoided, and discuss statistics showing that the particle filter is performing correctly.


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