A Stochastic Covariance Shrinkage Approach to Particle Rejuvenation in the Ensemble Transform Particle Filter

  title={A Stochastic Covariance Shrinkage Approach to Particle Rejuvenation in the Ensemble Transform Particle Filter},
  author={Andrey A Popov and Amit N. Subrahmanya and Adrian Sandu},
Abstract. Rejuvenation in particle filters is necessary to prevent the collapse of the weights when the number of particles is insufficient to sample the high probability regions of the state space. Rejuvenation is often implemented in a heuristic manner by the addition of stochastic samples that widen the support of the ensemble. This work aims at improving canonical rejuvenation methodology by the introduction of additional prior information obtained from climatological samples; the dynamical… Expand

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CSL-TR-21-10 November 30 , 2021
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