Kalman-Takens filtering in the presence of dynamical noise

The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model is known, a hybrid Kalman-Takens method has been recently introduced, in order to exploit the advantages of optimal filtering in a nonparametric setting. This procedure replaces the parametric model with dynamics reconstructed from delay coordinates, while using the Kalman update formulation to assimilate new observations. We find that this hybrid approach results in comparable efficiency to parametric methods in identifying underlying dynamics, even in the presence of dynamical noise. By combining the Kalman-Takens method with an adaptive filtering procedure we are able to estimate the statistics of the observational and dynamical noise. This solves a long standing problem of separating dynamical and observational noise in time series data, which is especially challenging when no dynamical model is specified

Mathematical control of complex systems

Copyright © 2013 ZidongWang et al.This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Particle filtering in high-dimensional chaotic systems

We present an efficient particle filtering algorithm for multiscale systems, that is adapted for simple atmospheric dynamics models which are inherently chaotic. Particle filters represent the posterior conditional distribution of the state variables by a collection of particles, which evolves and adapts recursively as new information becomes available. The difference between the estimated state and the true state of the system constitutes the error in specifying or forecasting the state, which is amplified in chaotic systems that have a number of positive Lyapunov exponents. The purpose of the present paper is to show that the homogenization method developed in Imkeller et al. (2011), which is applicable to high dimensional multi-scale filtering problems, along with important sampling and control methods can be used as a basic and flexible tool for the construction of the proposal density inherent in particle filtering. Finally, we apply the general homogenized particle filtering algorithm developed here to the Lorenz'96 atmospheric model that mimics mid-latitude atmospheric dynamics with microscopic convective processes.Comment: 28 pages, 12 figure

Stochastic reaction networks with input processes: Analysis and applications to reporter gene systems

Stochastic reaction network models are widely utilized in biology and chemistry to describe the probabilistic dynamics of biochemical systems in general, and gene interaction networks in particular. Most often, statistical analysis and inference of these systems is addressed by parametric approaches, where the laws governing exogenous input processes, if present, are themselves fixed in advance. Motivated by reporter gene systems, widely utilized in biology to monitor gene activation at the individual cell level, we address the analysis of reaction networks with state-affine reaction rates and arbitrary input processes. We derive a generalization of the so-called moment equations where the dynamics of the network statistics are expressed as a function of the input process statistics. In stationary conditions, we provide a spectral analysis of the system and elaborate on connections with linear filtering. We then apply the theoretical results to develop a method for the reconstruction of input process statistics, namely the gene activation autocovariance function, from reporter gene population snapshot data, and demonstrate its performance on a simulated case study