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SUMMARY:Optimal proposal densities for particle filters - Peter Jan van Le
 euwen\, Prof in Data Assimilation\, Department of Meteorology\, University
  of Reading
DTSTART:20120125T141500Z
DTEND:20120125T150000Z
UID:TALK35375@talks.cam.ac.uk
CONTACT:Rachel Fogg
DESCRIPTION:In this talk\, we discuss why the so-called 'optimal proposal 
 density'in particle filtering is not efficient when the number of independ
 ent observations is large. Two new methods for constructing proposal\ndens
 ities are introduced that ensure that all -or most- of the particles end u
 p in the high probability regions with similar weights. These similar weig
 hts opens up the field of efficient particle filtering in\nhigh-dimensiona
 l systems. Applications to simple systems and a high-dimensional highly no
 nlinear fluid-dynamics problem (the barotropic vorticity equation) will be
  discussed.\n\n
LOCATION:LR4\, Engineering\, Department of
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