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Nonlinear Processes in Geophysics An interactive open-access journal of the European Geosciences Union
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Volume 19, issue 3
Nonlin. Processes Geophys., 19, 365-382, 2012
https://doi.org/10.5194/npg-19-365-2012
© Author(s) 2012. This work is distributed under
the Creative Commons Attribution 3.0 License.
Nonlin. Processes Geophys., 19, 365-382, 2012
https://doi.org/10.5194/npg-19-365-2012
© Author(s) 2012. This work is distributed under
the Creative Commons Attribution 3.0 License.

Research article 19 Jun 2012

Research article | 19 Jun 2012

Implicit particle filtering for models with partial noise, and an application to geomagnetic data assimilation

M. Morzfeld1 and A. J. Chorin1,2 M. Morzfeld and A. J. Chorin
  • 1Lawrence Berkeley National Laboratory, Berkeley, CA, USA
  • 2Department of Mathematics, University of California, Berkeley, CA, USA

Abstract. Implicit particle filtering is a sequential Monte Carlo method for data assimilation, designed to keep the number of particles manageable by focussing attention on regions of large probability. These regions are found by minimizing, for each particle, a scalar function F of the state variables. Some previous implementations of the implicit filter rely on finding the Hessians of these functions. The calculation of the Hessians can be cumbersome if the state dimension is large or if the underlying physics are such that derivatives of F are difficult to calculate, as happens in many geophysical applications, in particular in models with partial noise, i.e. with a singular state covariance matrix. Examples of models with partial noise include models where uncertain dynamic equations are supplemented by conservation laws with zero uncertainty, or with higher order (in time) stochastic partial differential equations (PDE) or with PDEs driven by spatially smooth noise processes. We make the implicit particle filter applicable to such situations by combining gradient descent minimization with random maps and show that the filter is efficient, accurate and reliable because it operates in a subspace of the state space. As an example, we consider a system of nonlinear stochastic PDEs that is of importance in geomagnetic data assimilation.

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