Implicit Particle Filters

Wednesday, November 20, 2013 - 2:15pm - 2:55pm
Lind 305
Xuemin Tu (University of Kansas)
In this talk, we will introduce implicit particle filter, a new particle filter that focuses particle paths on regions of high probability by
solving equations with a random input. Thus it is applicable even if the state dimension is large.
We will also present the details of the implementation of implicit particle filter and its connection with other data assimilation methods. Several examples will be provided to illustrate the efficiency and accuracy of the algorithm.
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