Nonlinear Data Assimilation

The first contribution by Jan van Leeuwen focuses on the potential of proposal densities. It discusses the issues with present-day particle filters and explorers new ideas for proposal densities to solve them, converging to particle filters that work well in systems of any dimension, closing the contribution with a high-dimensional example. The second contribution by Cheng and Reich discusses a unified framework for ensemble-transform particle filters. This allows one to bridge successful ensemble Kalman filters with fully nonlinear particle filters, and allows a proper introduction of localization in particle filters, which has been lacking up to now.

Peter Jan van Leeuwen is a Professor of Data Assimilation at the University of Reading.  His research interests include nonlinear data assimilation, geophysical fluid dynamics, interaction thermohaline and wind-driven ocean circulation, and perturbation theory.

Sebastian Reich is a Professor in the Department of Numerical Mathematics at Universität Potsdam. His research interests include uncertainty quantification, geophysical fluid dynamics, molecular dynamics, and geometric integration.