Particle filters for high‐dimensional geoscience applications: A review

• Published in: Quarterly journal of the Royal Meteorological Society Vol. 145; no. 723; pp. 2335 - 2365
• Main Authors: Leeuwen, Peter Jan, Künsch, Hans R., Nerger, Lars, Potthast, Roland, Reich, Sebastian
• Format: Journal Article
• Language: English
• Published: Chichester, UK John Wiley & Sons, Ltd 01.07.2019; Wiley Subscription Services, Inc
• Subjects: Data assimilation; Data collection; Earth science; Filters; Hybrids; Kalman filters; Localization; Methods; nonlinear data assimilation; particle filters; proposal densities; Review; Weather forecasting; localization; nonlinear data assimilation; hybrids; particle filters; proposal densities
• ISSN: 0035-9009; 1477-870X
• DOI: 10.1002/qj.3551

Particle filters contain the promise of fully nonlinear data assimilation. They have been applied in numerous science areas, including the geosciences, but their application to high‐dimensional geoscience systems has been limited due to their inefficiency in high‐dimensional systems in standard settings. However, huge progress has been made, and this limitation is disappearing fast due to recent developments in proposal densities, the use of ideas from (optimal) transportation, the use of localization and intelligent adaptive resampling strategies. Furthermore, powerful hybrids between particle filters and ensemble Kalman filters and variational methods have been developed. We present a state‐of‐the‐art discussion of present efforts of developing particle filters for high‐dimensional nonlinear geoscience state‐estimation problems, with an emphasis on atmospheric and oceanic applications, including many new ideas, derivations and unifications, highlighting hidden connections, including pseudo‐code, and generating a valuable tool and guide for the community. Initial experiments show that particle filters can be competitive with present‐day methods for numerical weather prediction, suggesting that they will become mainstream soon. The standard particle filter. Left: the prior particles (dots), with one observation, denoted with the red cross. Right: the posterior particles, the larger the dot the larger its weight. Note that the particles don't move in state space, they are just reweighted.