Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters

This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that, the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. We show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an "ensemble of Kalman filters" operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, we consider the construction of the PKF through an "ensemble" of ensemble Kalman filters (EnKFs) instead, and call the implementation the particle EnKF (PEnKF). We show that different types of the EnKFs can be considered as special cases of the PEnKF. Similar to the situation in the particle filter, we also introduce a re-sampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.Comment: Accepted manuscript, to appear in Monthly Weather Revie

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Multichannel Photon Counting Lidar Measurements Using USB-based Digital Storage Oscilloscope

We present a simple method of making multichannel photon counting measurements of weak lidar signal from large ranges, using commonly available USB-based digital storage oscilloscopes. The single photon pulses from compact photomultiplier tubes are amplified and stretched so that the pulses are large and broad enough to be sampled efficiently by the USB oscilloscopes. A software interface written in Labview is then used to count the number of photon pulses in each of the prescribed time bins to form the histogram of LIDAR signal. This method presents a flexible alternative to the modular multichannel scalers and facilitate the development of sensitive lidar systems