Particle filters in highly nonlinear high-dimensional systems
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.