Particle filters for Data Assimilation

Modern Data Assimilation (DA) can be traced back to the sixties and owes a lot to earlier developments in linear filtering theory. Since then, DA has evolved independently of Filtering Theory. To-date it is a massively important area of research due to its many applications in meteorology, ocean prediction, hydrology, oil reservoir exploration, etc. The field has been largely driven by practitioners, however in recent years an increasing body of theoretical work has been devoted to it. In this talk, In my talk, I will advocate the interpretation of DA through the language of stochastic filtering. This interpretation allows us to make use of advanced particle filters to produce rigorously validated DA methodologies. I will present a particle filter that incorporates three additional add-on procedures: nudging, tempering and jittering. The particle filter is tested on a two-layer quasi-geostrophic model with O(10^6) degrees of freedom out of which only a minute fraction are noisily observed.