A Gaussian-mixture ensemble transform filter

作者：Reich Sebastian^*

来源：Quarterly Journal of the Royal Meteorological Society, 2012, 138(662): 222-233.

DOI：10.1002/qj.898

• data assimilation
• ensemble Kalman filter
• nonlinear filtering
• Gaussian mixtures
• Gaussian kernel estimators

We generalize the popular ensemble Kalman filter to an ensemble transform filter, in which 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 of tracking systems with non-Gaussian uni- and multimodal ensemble distributions.

• 出版日期2012-1