A Gaussian mixture ensemble transform filter

Details A Gaussian mixture ensemble transform filter A Gaussian mixture ensemble transform filter

2011-02-15

arxiv.org/abs/1102.3089v3

Mathematics

Probability

Scientific paper

We generalize the popular ensemble Kalman filter to an ensemble transform filter where the prior distribution can take the form of a Gaussian mixture or a Gaussian kernel density estimator. The design of the filter is based on a continuous formulation of the Bayesian filter analysis step. We call the new filter algorithm the ensemble Gaussian mixture filter (EGMF). The EGMF is implemented for three simple test problems (Brownian dynamics in one dimension, Langevin dynamics in two dimensions, and the three dimensional Lorenz-63 model). It is demonstrated that the EGMF is capable to track systems with non-Gaussian uni- and multimodal ensemble distributions.

Affiliated with

Also associated with

No associations

Rating

A Gaussian mixture ensemble transform filter does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Gaussian mixture ensemble transform filter, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Gaussian mixture ensemble transform filter will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-378553