An Improved Data Assimilation Scheme for High Dimensional Nonlinear Systems

Abstract: Nonlinear/non-Gaussian filtering has broad applications in many areas of life sciences where either the dynamic is nonlinear and/or the probability density function of uncertain state is non-Gaussian. In such problems, the accuracy of the estimated quantities depends highly upon how accurately their posterior pdf can be approximated. In low dimensional state spaces, methods based on Sequential Importance Sampling (SIS) can suitably approximate the posterior pdf. For higher dimensional problems, however, these techniques are usually inappropriate since the required number of particles to achieve satisfactory estimates grows exponentially with the dimension of state space. On the other hand, ensemble Kalman filter (EnKF) and its variants are more suitable for large-scale problems due to transformation of particles in the Bayesian update step. It has been shown that the latter class of methods may lead to suboptimal solutions for strongly nonlinear problems due to the Gaussian assumption in the update step. In this paper, we introduce a new technique based on the Gaussian sum expansion which captures the non-Gaussian features more accurately while the required computational effort remains within reason for high dimensional problems. We demonstrate the performance of the method for non-Gaussian processes through several examples including the strongly nonlinear Lorenz models. Results show a remarkable improvement in the mean square error compared to EnKF, and a desirable convergence behavior as the number of particles increases.