An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models

DOI10.1016/J.JCP.2013.10.025zbMATH Open1349.62593DBLPjournals/jcphy/HarlimMM14OpenAlexW1976552644WikidataQ57423493 ScholiaQ57423493MaRDI QIDQ348513FDOQ348513

Authors: John Harlim, Adam Mahdi, Andrew J. Majda 

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2013.10.025

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zbMATH Keywords

nonlinear regression modelsensemble Kalman filtermulti-level modelsparameter estimation of stochastic differential equations

Mathematics Subject Classification ID

General nonlinear regression (62J02) Inference from stochastic processes and prediction (62M20) Applications of statistics to physics (62P35) Estimation and detection in stochastic control theory (93E10)

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Cited In (31)

• A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
• Data-driven non-Markovian closure models
• Learning nonlinear turbulent dynamics from partial observations via analytically solvable conditional statistics
• Predicting the cloud patterns for the boreal summer intraseasonal oscillation through a low-order stochastic model
• A state estimation approach based on stochastic expansions
• Systematic physics constrained parameter estimation of stochastic differential equations
• CGNSDE: conditional Gaussian neural stochastic differential equation for modeling complex systems and data assimilation
• Rigorous statistical bounds in uncertainty quantification for one-layer turbulent geophysical flows
• Semiparametric modeling: correcting low-dimensional model error in parametric models
• Correcting noisy dynamic mode decomposition with Kalman filters
• Filtering a nonlinear slow-fast system with strong fast forcing
• An algebraic method for constructing stable and consistent autoregressive filters
• A causality-based learning approach for discovering the underlying dynamics of complex systems from partial observations with stochastic parameterization
• An efficient data-driven multiscale stochastic reduced order modeling framework for complex systems
• Predicting observed and hidden extreme events in complex nonlinear dynamical systems with partial observations and short training time series
• Efficient nonlinear optimal smoothing and sampling algorithms for complex turbulent nonlinear dynamical systems with partial observations
• Forecasting turbulent modes with nonparametric diffusion models: learning from noisy data
• Adaptive error covariances estimation methods for ensemble Kalman filters
• Fundamental limitations of ad hoc linear and quadratic multi-level regression models for physical systems
• Numerical development and evaluation of an energy conserving conceptual stochastic climate model
• Improving the prediction of complex nonlinear turbulent dynamical systems using nonlinear filter, smoother and backward sampling techniques
• Modeling of missing dynamical systems: deriving parametric models using a nonparametric framework
• Ensemble Kalman filtering for non-linear likelihood models using kernel-shrinkage regression techniques
• Model free data assimilation with Takens embedding
• Machine learning for prediction with missing dynamics
• Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions
• Strategies for reduced-order models for predicting the statistical responses and uncertainty quantification in complex turbulent dynamical systems
• Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions
• Low-dimensional reduced-order models for statistical response and uncertainty quantification: barotropic turbulence with topography
• Conditional Gaussian nonlinear system: a fast preconditioner and a cheap surrogate model for complex nonlinear systems
• Physics constrained nonlinear regression models for time series

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