1,185 research outputs found
Evaluating Data Assimilation Algorithms
Data assimilation leads naturally to a Bayesian formulation in which the
posterior probability distribution of the system state, given the observations,
plays a central conceptual role. The aim of this paper is to use this Bayesian
posterior probability distribution as a gold standard against which to evaluate
various commonly used data assimilation algorithms.
A key aspect of geophysical data assimilation is the high dimensionality and
low predictability of the computational model. With this in mind, yet with the
goal of allowing an explicit and accurate computation of the posterior
distribution, we study the 2D Navier-Stokes equations in a periodic geometry.
We compute the posterior probability distribution by state-of-the-art
statistical sampling techniques. The commonly used algorithms that we evaluate
against this accurate gold standard, as quantified by comparing the relative
error in reproducing its moments, are 4DVAR and a variety of sequential
filtering approximations based on 3DVAR and on extended and ensemble Kalman
filters.
The primary conclusions are that: (i) with appropriate parameter choices,
approximate filters can perform well in reproducing the mean of the desired
probability distribution; (ii) however they typically perform poorly when
attempting to reproduce the covariance; (iii) this poor performance is
compounded by the need to modify the covariance, in order to induce stability.
Thus, whilst filters can be a useful tool in predicting mean behavior, they
should be viewed with caution as predictors of uncertainty. These conclusions
are intrinsic to the algorithms and will not change if the model complexity is
increased, for example by employing a smaller viscosity, or by using a detailed
NWP model
Data Assimilation: A Mathematical Introduction
These notes provide a systematic mathematical treatment of the subject of
data assimilation
Well Posedness and Convergence Analysis of the Ensemble Kalman Inversion
The ensemble Kalman inversion is widely used in practice to estimate unknown
parameters from noisy measurement data. Its low computational costs,
straightforward implementation, and non-intrusive nature makes the method
appealing in various areas of application. We present a complete analysis of
the ensemble Kalman inversion with perturbed observations for a fixed ensemble
size when applied to linear inverse problems. The well-posedness and
convergence results are based on the continuous time scaling limits of the
method. The resulting coupled system of stochastic differential equations
allows to derive estimates on the long-time behaviour and provides insights
into the convergence properties of the ensemble Kalman inversion. We view the
method as a derivative free optimization method for the least-squares misfit
functional, which opens up the perspective to use the method in various areas
of applications such as imaging, groundwater flow problems, biological problems
as well as in the context of the training of neural networks
Data Assimilation in Chaotic Systems Using Deep Reinforcement Learning
Data assimilation (DA) plays a pivotal role in diverse applications, ranging
from climate predictions and weather forecasts to trajectory planning for
autonomous vehicles. A prime example is the widely used ensemble Kalman filter
(EnKF), which relies on linear updates to minimize variance among the ensemble
of forecast states. Recent advancements have seen the emergence of deep
learning approaches in this domain, primarily within a supervised learning
framework. However, the adaptability of such models to untrained scenarios
remains a challenge. In this study, we introduce a novel DA strategy that
utilizes reinforcement learning (RL) to apply state corrections using full or
partial observations of the state variables. Our investigation focuses on
demonstrating this approach to the chaotic Lorenz '63 system, where the agent's
objective is to minimize the root-mean-squared error between the observations
and corresponding forecast states. Consequently, the agent develops a
correction strategy, enhancing model forecasts based on available system state
observations. Our strategy employs a stochastic action policy, enabling a Monte
Carlo-based DA framework that relies on randomly sampling the policy to
generate an ensemble of assimilated realizations. Results demonstrate that the
developed RL algorithm performs favorably when compared to the EnKF.
Additionally, we illustrate the agent's capability to assimilate non-Gaussian
data, addressing a significant limitation of the EnKF
Beyond Gaussian Statistical Modeling in Geophysical Data Assimilation
International audienceThis review discusses recent advances in geophysical data assimilation beyond Gaussian statistical modeling, in the fields of meteorology, oceanography, as well as atmospheric chemistry. The non-Gaussian features are stressed rather than the nonlinearity of the dynamical models, although both aspects are entangled. Ideas recently proposed to deal with these non-Gaussian issues, in order to improve the state or parameter estimation, are emphasized. The general Bayesian solution to the estimation problem and the techniques to solve it are first presented, as well as the obstacles that hinder their use in high-dimensional and complex systems. Approximations to the Bayesian solution relying on Gaussian, or on second-order moment closure, have been wholly adopted in geophysical data assimilation (e.g., Kalman filters and quadratic variational solutions). Yet, nonlinear and non-Gaussian effects remain. They essentially originate in the nonlinear models and in the non-Gaussian priors. How these effects are handled within algorithms based on Gaussian assumptions is then described. Statistical tools that can diagnose them and measure deviations from Gaussianity are recalled. The following advanced techniques that seek to handle the estimation problem beyond Gaussianity are reviewed: maximum entropy filter, Gaussian anamorphosis, non-Gaussian priors, particle filter with an ensemble Kalman filter as a proposal distribution, maximum entropy on the mean, or strictly Bayesian inferences for large linear models, etc. Several ideas are illustrated with recent or original examples that possess some features of high-dimensional systems. Many of the new approaches are well understood only in special cases and have difficulties that remain to be circumvented. Some of the suggested approaches are quite promising, and sometimes already successful for moderately large though specific geophysical applications. Hints are given as to where progress might come from
Revision of TR-09-25: A Hybrid Variational/Ensemble Filter Approach to Data Assimilation
Two families of methods are widely used in data assimilation: the
four dimensional variational (4D-Var) approach, and the ensemble Kalman filter
(EnKF) approach. The two families have been developed largely through parallel
research efforts. Each method has its advantages and disadvantages. It is of
interest to develop hybrid data assimilation
algorithms that can combine the relative strengths of the two approaches.
This paper proposes a subspace approach to investigate the theoretical equivalence between the suboptimal
4D-Var method (where only a small number of optimization iterations are
performed) and the practical EnKF method (where only a small number of ensemble
members are used) in a linear Gaussian setting. The analysis motivates a new
hybrid algorithm: the optimization directions obtained from a short window
4D-Var run are used to construct the EnKF initial ensemble.
The proposed hybrid method is computationally less expensive than a full
4D-Var, as only short assimilation windows are considered. The hybrid method has the potential to
perform better than the regular EnKF due to its look-ahead property.
Numerical results
show that the proposed hybrid ensemble filter method performs better than the
regular EnKF method for both linear and nonlinear test problems
Data Assimilation: A Mathematical Introduction
This book provides a systematic treatment of the mathematical underpinnings of work in data assimilation, covering both theoretical and computational approaches. Specifically the authors develop a unified mathematical framework in which a Bayesian formulation of the problem provides the bedrock for the derivation, development and analysis of algorithms; the many examples used in the text, together with the algorithms which are introduced and discussed, are all illustrated by the MATLAB software detailed in the book and made freely available online.
The book is organized into nine chapters: the first contains a brief introduction to the mathematical tools around which the material is organized; the next four are concerned with discrete time dynamical systems and discrete time data; the last four are concerned with continuous time dynamical systems and continuous time data and are organized analogously to the corresponding discrete time chapters.
This book is aimed at mathematical researchers interested in a systematic development of this interdisciplinary field, and at researchers from the geosciences, and a variety of other scientific fields, who use tools from data assimilation to combine data with time-dependent models. The numerous examples and illustrations make understanding of the theoretical underpinnings of data assimilation accessible. Furthermore, the examples, exercises and MATLAB software, make the book suitable for students in applied mathematics, either through a lecture course, or through self-study
Stochastic modeling and control of neural and small length scale dynamical systems
Recent advancements in experimental and computational techniques have created tremendous opportunities in the study of fundamental questions of science and engineering by taking the approach of stochastic modeling and control of dynamical systems. Examples include but are not limited to neural coding and emergence of behaviors in biological networks. Integrating optimal control strategies with stochastic dynamical models has ignited the development of new technologies in many emerging applications. In this direction, particular examples are brain-machine interfaces (BMIs), and systems to manipulate submicroscopic objects. The focus of this dissertation is to advance these technologies by developing optimal control strategies under various feedback scenarios and system uncertainties. Brain-machine interfaces (BMIs) establish direct communications between living brain tissue and external devices such as an artificial arm. By sensing and interpreting neuronal activity to actuate an external device, BMI-based neuroprostheses hold great promise in rehabilitating motor disabled subjects such as amputees. However, lack of the incorporation of sensory feedback, such as proprioception and tactile information, from the artificial arm back to the brain has greatly limited the widespread clinical deployment of these neuroprosthetic systems in rehabilitation. In the first part of the dissertation, we develop a systematic control-theoretic approach for a system-level rigorous analysis of BMIs under various feedback scenarios. The approach involves quantitative and qualitative analysis of single neuron and network models to the design of missing sensory feedback pathways in BMIs using optimal feedback control theory. As a part of our results, we show that the recovery of the natural performance of motor tasks in BMIs can be achieved by designing artificial sensory feedbacks in the proposed optimal control framework. The second part of the dissertation deals with developing stochastic optimal control strategies using limited feedback information for applications in neural and small length scale dynamical systems. The stochastic nature of these systems coupled with the limited feedback information has greatly restricted the direct applicability of existing control strategies in stabilizing these systems. Moreover, it has recently been recognized that the development of advanced control algorithms is essential to facilitate applications in these systems. We propose a novel broadcast stochastic optimal control strategy in a receding horizon framework to overcome existing limitations of traditional control designs. We apply this strategy to stabilize multi-agent systems and Brownian ensembles. As a part of our results, we show the optimal trapping of an ensemble of particles driven by Brownian motion in a minimum trapping region using the proposed framework
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