Non-global parameter estimation using local ensemble Kalman filtering

We study parameter estimation for non-global parameters in a low-dimensional chaotic model using the local ensemble transform Kalman filter (LETKF). By modifying existing techniques for using observational data to estimate global parameters, we present a methodology whereby spatially-varying parameters can be estimated using observations only within a localized region of space. Taking a low-dimensional nonlinear chaotic conceptual model for atmospheric dynamics as our numerical testbed, we show that this parameter estimation methodology accurately estimates parameters which vary in both space and time, as well as parameters representing physics absent from the model

On dimension reduction in Gaussian filters

A priori dimension reduction is a widely adopted technique for reducing the computational complexity of stationary inverse problems. In this setting, the solution of an inverse problem is parameterized by a low-dimensional basis that is often obtained from the truncated Karhunen-Loeve expansion of the prior distribution. For high-dimensional inverse problems equipped with smoothing priors, this technique can lead to drastic reductions in parameter dimension and significant computational savings. In this paper, we extend the concept of a priori dimension reduction to non-stationary inverse problems, in which the goal is to sequentially infer the state of a dynamical system. Our approach proceeds in an offline-online fashion. We first identify a low-dimensional subspace in the state space before solving the inverse problem (the offline phase), using either the method of "snapshots" or regularized covariance estimation. Then this subspace is used to reduce the computational complexity of various filtering algorithms - including the Kalman filter, extended Kalman filter, and ensemble Kalman filter - within a novel subspace-constrained Bayesian prediction-and-update procedure (the online phase). We demonstrate the performance of our new dimension reduction approach on various numerical examples. In some test cases, our approach reduces the dimensionality of the original problem by orders of magnitude and yields up to two orders of magnitude in computational savings

Identification of weakly coupled multiphysics problems. Application to the inverse problem of electrocardiography

This work addresses the inverse problem of electrocardiography from a new perspective, by combining electrical and mechanical measurements. Our strategy relies on the defini-tion of a model of the electromechanical contraction which is registered on ECG data but also on measured mechanical displacements of the heart tissue typically extracted from medical images. In this respect, we establish in this work the convergence of a sequential estimator which combines for such coupled problems various state of the art sequential data assimilation methods in a unified consistent and efficient framework. Indeed we ag-gregate a Luenberger observer for the mechanical state and a Reduced Order Unscented Kalman Filter applied on the parameters to be identified and a POD projection of the electrical state. Then using synthetic data we show the benefits of our approach for the estimation of the electrical state of the ventricles along the heart beat compared with more classical strategies which only consider an electrophysiological model with ECG measurements. Our numerical results actually show that the mechanical measurements improve the identifiability of the electrical problem allowing to reconstruct the electrical state of the coupled system more precisely. Therefore, this work is intended to be a first proof of concept, with theoretical justifications and numerical investigations, of the ad-vantage of using available multi-modal observations for the estimation and identification of an electromechanical model of the heart