Stability of Filters for the Navier-Stokes Equation

Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation algorithms designed to update the estimation of the state in a on-line fashion, as data is acquired sequentially. For linear problems subject to Gaussian noise filtering can be performed exactly using the Kalman filter. For nonlinear systems it can be approximated in a systematic way by particle filters. However in high dimensions these particle filtering methods can break down. Hence, for the large nonlinear systems arising in applications such as weather forecasting, various ad hoc filters are used, mostly based on making Gaussian approximations. The purpose of this work is to study the properties of these ad hoc filters, working in the context of the 2D incompressible Navier-Stokes equation. By working in this infinite dimensional setting we provide an analysis which is useful for understanding high dimensional filtering, and is robust to mesh-refinement. We describe theoretical results showing that, in the small observational noise limit, the filters can be tuned to accurately track the signal itself (filter stability), provided the system is observed in a sufficiently large low dimensional space; roughly speaking this space should be large enough to contain the unstable modes of the linearized dynamics. Numerical results are given which illustrate the theory. In a simplified scenario we also derive, and study numerically, a stochastic PDE which determines filter stability in the limit of frequent observations, subject to large observational noise. The positive results herein concerning filter stability complement recent numerical studies which demonstrate that the ad hoc filters perform poorly in reproducing statistical variation about the true signal

Balanced data assimilation for highly-oscillatory mechanical systems

Data assimilation algorithms are used to estimate the states of a dynamical system using partial and noisy observations. The ensemble Kalman filter has become a popular data assimilation scheme due to its simplicity and robustness for a wide range of application areas. Nevertheless, the ensemble Kalman filter also has limitations due to its inherent Gaussian and linearity assumptions. These limitations can manifest themselves in dynamically inconsistent state estimates. We investigate this issue in this paper for highly oscillatory Hamiltonian systems with a dynamical behavior which satisfies certain balance relations. We first demonstrate that the standard ensemble Kalman filter can lead to estimates which do not satisfy those balance relations, ultimately leading to filter divergence. We also propose two remedies for this phenomenon in terms of blended time-stepping schemes and ensemble-based penalty methods. The effect of these modifications to the standard ensemble Kalman filter are discussed and demonstrated numerically for two model scenarios. First, we consider balanced motion for highly oscillatory Hamiltonian systems and, second, we investigate thermally embedded highly oscillatory Hamiltonian systems. The first scenario is relevant for applications from meteorology while the second scenario is relevant for applications of data assimilation to molecular dynamics

Progress Toward Affordable High Fidelity Combustion Simulations Using Filtered Density Functions for Hypersonic Flows in Complex Geometries

Significant progress has been made in the development of subgrid scale (SGS) closures based on a filtered density function (FDF) for large eddy simulations (LES) of turbulent reacting flows. The FDF is the counterpart of the probability density function (PDF) method, which has proven effective in Reynolds averaged simulations (RAS). However, while systematic progress is being made advancing the FDF models for relatively simple flows and lab-scale flames, the application of these methods in complex geometries and high speed, wall-bounded flows with shocks remains a challenge. The key difficulties are the significant computational cost associated with solving the FDF transport equation and numerically stiff finite rate chemistry. For LES/FDF methods to make a more significant impact in practical applications a pragmatic approach must be taken that significantly reduces the computational cost while maintaining high modeling fidelity. An example of one such ongoing effort is at the NASA Langley Research Center, where the first generation FDF models, namely the scalar filtered mass density function (SFMDF) are being implemented into VULCAN, a production-quality RAS and LES solver widely used for design of high speed propulsion flowpaths. This effort leverages internal and external collaborations to reduce the overall computational cost of high fidelity simulations in VULCAN by: implementing high order methods that allow reduction in the total number of computational cells without loss in accuracy; implementing first generation of high fidelity scalar PDF/FDF models applicable to high-speed compressible flows; coupling RAS/PDF and LES/FDF into a hybrid framework to efficiently and accurately model the effects of combustion in the vicinity of the walls; developing efficient Lagrangian particle tracking algorithms to support robust solutions of the FDF equations for high speed flows; and utilizing finite rate chemistry parametrization, such as flamelet models, to reduce the number of transported reactive species and remove numerical stiffness. This paper briefly introduces the SFMDF model (highlighting key benefits and challenges), and discusses particle tracking for flows with shocks, the hybrid coupled RAS/PDF and LES/FDF model, flamelet generated manifolds (FGM) model, and the Irregularly Portioned Lagrangian Monte Carlo Finite Difference (IPLMCFD) methodology for scalable simulation of high-speed reacting compressible flows

Sequential Monte Carlo with Highly Informative Observations

We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which standard SMC methods can perform poorly. A special case is simulating bridges between given initial and final values. The basic idea is to introduce a schedule of intermediate weighting and resampling times between observation times, which guide particles towards the final state. This can always be done for continuous-time models, and may be done for discrete-time models under sparse observation regimes; our main focus is on continuous-time diffusion processes. The methods are broadly applicable in that they support multivariate models with partial observation, do not require simulation of the backward transition (which is often unavailable), and, where possible, avoid pointwise evaluation of the forward transition. When simulating bridges, the last cannot be avoided entirely without concessions, and we suggest an epsilon-ball approach (reminiscent of Approximate Bayesian Computation) as a workaround. Compared to the bootstrap particle filter, the new methods deliver substantially reduced mean squared error in normalising constant estimates, even after accounting for execution time. The methods are demonstrated for state estimation with two toy examples, and for parameter estimation (within a particle marginal Metropolis--Hastings sampler) with three applied examples in econometrics, epidemiology and marine biogeochemistry.Comment: 25 pages, 11 figure