Applying the Sinkhorn Algorithm for Resampling of Local Particle Filter

The particle filter attracts interest from the data assimilation research community since it does not assume a Gaussian prior error distribution. Several local filters (LPFs) have been proposed to avoid weight collapse due of observations in high dimensional systems. This study focuses on an LPF that uses ensemble transform matrix as used Kalman filter. Resampling transform-matrix-based has employed using Optimal Transport (OT) minimizes analysis increments particles. However, computations OT increase by order square, which limits its application for large-ensemble problems.