Implicit particle filters for data assimilation update the particles by first choosing probabilities and then looking for particle locations that assume them, guiding the particles one by one to the high probability domain. We provide a detailed description of these filters, with illustrative examples, together with new, more general, methods for solving the algebraic equations and with a new algorithm for parameter identification.
@article{arxiv.1005.4002,
title = {Implicit particle filters for data assimilation},
author = {Alexandre J. Chorin and Matthias Morzfeld and Xuemin Tu},
journal= {arXiv preprint arXiv:1005.4002},
year = {2010}
}