Particle filtering in high-dimensional chaotic systems

DOI10.1063/1.4766595zbMATH Open1319.37055arXiv1204.1360OpenAlexW3102871995WikidataQ39493490 ScholiaQ39493490MaRDI QIDQ2944667FDOQ2944667

N. Lingala, Hoong C. Yeong, N. Sri Namachchivaya, Nicolas Perkowski

Publication date: 2 September 2015

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/1204.1360

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Dynamical systems in fluid mechanics, oceanography and meteorology (37N10) Approximation methods and numerical treatment of dynamical systems (37M99)

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Cited In (6)

• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
• Random dynamical systems: addressing uncertainty, nonlinearity and predictability
• Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model
• Particle filtering of dynamical networks: Highlighting observability issues
• Dimensional reduction in nonlinear filtering: a homogenization approach

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