Current Particle Swarm Optimization (PSO) algorithms do not address problems with unknown dimensions, which arise in many applications that would benefit from the use of PSO. In this paper, we propose a new algorithm, called Dimension Adaptive Particle Swarm Optimization (DA-PSO) that can address problems with any number of dimensions. We also propose and compare three other PSO-based methods with DA-PSO. We apply our algorithms to solve the Weibull mixture model density estimation problem as an illustration. DA-PSO achieves better objective function values than other PSO-based algorithms on four simulated datasets and a real dataset. We also compare DA-PSO with the recursive Expectation-Maximization (EM) estimator, which is a non-PSO-based method, obtaining again very good results.