Dimension reduction for systems with slow relaxation

We develop reduced, stochastic models for high dimensional, dissipative dynamical systems that relax very slowly to equilibrium and can encode long term memory. We present a variety of empirical and first principles approaches for model reduction, and build a mathematical framework for analyzing the reduced models. We introduce the notions of universal and asymptotic filters to characterize `optimal' model reductions for sloppy linear models. We illustrate our methods by applying them to the practically important problem of modeling evaporation in oil spills.Comment: 48 Pages, 13 figures. Paper dedicated to the memory of Leo Kadanof

Nonlinear stability and ergodicity of ensemble based Kalman filters

The ensemble Kalman filter (EnKF) and ensemble square root filter (ESRF) are data assimilation methods used to combine high dimensional, nonlinear dynamical models with observed data. Despite their widespread usage in climate science and oil reservoir simulation, very little is known about the long-time behavior of these methods and why they are effective when applied with modest ensemble sizes in large dimensional turbulent dynamical systems. By following the basic principles of energy dissipation and controllability of filters, this paper establishes a simple, systematic and rigorous framework for the nonlinear analysis of EnKF and ESRF with arbitrary ensemble size, focusing on the dynamical properties of boundedness and geometric ergodicity. The time uniform boundedness guarantees that the filter estimate will not diverge to machine infinity in finite time, which is a potential threat for EnKF and ESQF known as the catastrophic filter divergence. Geometric ergodicity ensures in addition that the filter has a unique invariant measure and that initialization errors will dissipate exponentially in time. We establish these results by introducing a natural notion of observable energy dissipation. The time uniform bound is achieved through a simple Lyapunov function argument, this result applies to systems with complete observations and strong kinetic energy dissipation, but also to concrete examples with incomplete observations. With the Lyapunov function argument established, the geometric ergodicity is obtained by verifying the controllability of the filter processes; in particular, such analysis for ESQF relies on a careful multivariate perturbation analysis of the covariance eigen-structure.Comment: 38 page

State Estimation for a Humanoid Robot

This paper introduces a framework for state estimation on a humanoid robot platform using only common proprioceptive sensors and knowledge of leg kinematics. The presented approach extends that detailed in [1] on a quadruped platform by incorporating the rotational constraints imposed by the humanoid's flat feet. As in previous work, the proposed Extended Kalman Filter (EKF) accommodates contact switching and makes no assumptions about gait or terrain, making it applicable on any humanoid platform for use in any task. The filter employs a sensor-based prediction model which uses inertial data from an IMU and corrects for integrated error using a kinematics-based measurement model which relies on joint encoders and a kinematic model to determine the relative position and orientation of the feet. A nonlinear observability analysis is performed on both the original and updated filters and it is concluded that the new filter significantly simplifies singular cases and improves the observability characteristics of the system. Results on simulated walking and squatting datasets demonstrate the performance gain of the flat-foot filter as well as confirm the results of the presented observability analysis.Comment: IROS 2014 Submission, IEEE/RSJ International Conference on Intelligent Robots and Systems (2014) 952-95

Controlling overestimation of error covariance in ensemble Kalman filters with sparse observations: A variance limiting Kalman filter

We consider the problem of an ensemble Kalman filter when only partial observations are available. In particular we consider the situation where the observational space consists of variables which are directly observable with known observational error, and of variables of which only their climatic variance and mean are given. To limit the variance of the latter poorly resolved variables we derive a variance limiting Kalman filter (VLKF) in a variational setting. We analyze the variance limiting Kalman filter for a simple linear toy model and determine its range of optimal performance. We explore the variance limiting Kalman filter in an ensemble transform setting for the Lorenz-96 system, and show that incorporating the information of the variance of some un-observable variables can improve the skill and also increase the stability of the data assimilation procedure.Comment: 32 pages, 11 figure