A hybrid particle–ensemble Kalman filter for Lagrangian data assimilation
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KeywordBayesian methods; Filtering techniques; Kalman filters; Statistical techniques; Data assimilation
Lagrangian measurements from passive ocean instruments provide a useful source of data for estimating and forecasting the ocean’s state (velocity field, salinity field, etc.). However, trajectories from these instruments are often highly nonlinear, leading to difficulties with widely used data assimilation algorithms such as the ensemble Kalman filter (EnKF). Additionally, the velocity field is often modeled as a high-dimensional variable, which precludes the use of more accurate methods such as the particle filter (PF). Here, a hybrid particle–ensemble Kalman filter is developed that applies the EnKF update to the potentially high-dimensional velocity variables, and the PF update to the relatively low-dimensional, highly nonlinear drifter position variable. This algorithm is tested with twin experiments on the linear shallow water equations. In experiments with infrequent observations, the hybrid filter consistently outperformed the EnKF, both by better capturing the Bayesian posterior and by better tracking the truth.
Author Posting. © American Meteorological Society, 2015. This article is posted here by permission of American Meteorological Society for personal use, not for redistribution. The definitive version was published in Monthly Weather Review 143 (2015): 195–211, doi:10.1175/MWR-D-14-00051.1.
Suggested CitationArticle: Slivinski, Laura, Spiller, Elaine, Apte, Amit, Sandstede, Bjorn, "A hybrid particle–ensemble Kalman filter for Lagrangian data assimilation", Monthly Weather Review 143 (2015): 195–211, DOI:10.1175/MWR-D-14-00051.1, https://hdl.handle.net/1912/7163
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