The Diffusion Kernel Filter

Author(s)

Krause, Paul ^[1]

Affiliation

^[1] Univ Sao Paulo, Dept Atmospher Sci, BR-05508090 Sao Paulo - Brazil

• Document type: Journal article
• Source: Journal of Statistical Physics; v. 134, n. 2, p. 365-380, JAN 2009.
• Web of Science Citations: 1

Abstract

A particle filter method is presented for the discrete-time filtering problem with nonlinear ItA ` stochastic ordinary differential equations (SODE) with additive noise supposed to be analytically integrable as a function of the underlying vector-Wiener process and time. The Diffusion Kernel Filter is arrived at by a parametrization of small noise-driven state fluctuations within branches of prediction and a local use of this parametrization in the Bootstrap Filter. The method applies for small noise and short prediction steps. With explicit numerical integrators, the operations count in the Diffusion Kernel Filter is shown to be smaller than in the Bootstrap Filter whenever the initial state for the prediction step has sufficiently few moments. The established parametrization is a dual-formula for the analysis of sensitivity to gaussian-initial perturbations and the analysis of sensitivity to noise-perturbations, in deterministic models, showing in particular how the stability of a deterministic dynamics is modeled by noise on short times and how the diffusion matrix of an SODE should be modeled (i.e. defined) for a gaussian-initial deterministic problem to be cast into an SODE problem. From it, a novel definition of prediction may be proposed that coincides with the deterministic path within the branch of prediction whose information entropy at the end of the prediction step is closest to the average information entropy over all branches. Tests are made with the Lorenz-63 equations, showing good results both for the filter and the definition of prediction. (AU)

• FAPESP's process: 05/56460-3 - Stochastic forecasting in meteorology: Part 1 - model of shallow waters with rain mechanism
• Grantee: Paul Krause
• Support Opportunities: Scholarships in Brazil - Post-Doctoral