NAMay 31, 2016
What the collapse of the ensemble Kalman filter tells us about particle filtersMatthias Morzfeld, Daniel Hodyss, Chris Snyder
The ensemble Kalman filter (EnKF) is a reliable data assimilation tool for high-dimensional meteorological problems. On the other hand, the EnKF can be interpreted as a particle filter, and particle filters collapse in high-dimensional problems. We explain that these seemingly contradictory statements offer insights about how particle filters function in certain high-dimensional problems, and in particular support recent efforts in meteorology to "localize" particle filters, i.e., to restrict the influence of an observation to its neighborhood.