Filtering nonlinear dynamical systems with linear stochastic models

DOI10.1088/0951-7715/21/6/008zbMath1147.93411OpenAlexW2100388526MaRDI QIDQ3507964

Andrew J. Majda, John Harlim

Publication date: 24 June 2008

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c3ed4ff44f42a02478cf9667e34adefd7b5ccd0a

zbMATH Keywords

computational efficiencyKalman filtersfilter robustnessL-96 modelradical filtering approachrelatively low dimensional toy model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Probabilistic models, generic numerical methods in probability and statistics (65C20) Linear systems in control theory (93C05) Spectral and related methods applied to problems in solid mechanics (74S25) Stochastic systems in control theory (general) (93E03) Sequential estimation (62L12)

Related Items (21)

Forecasting turbulent modes with nonparametric diffusion models: learning from noisy data ⋮ Hierarchical sparse observation models and informative prior for Bayesian inference of spatially varying parameters ⋮ Dynamic Stochastic Superresolution of sparsely observed turbulent systems ⋮ An object-based model for convective cold pool dynamics ⋮ Particle filtering in high-dimensional chaotic systems ⋮ Generative Stochastic Modeling of Strongly Nonlinear Flows with Non-Gaussian Statistics ⋮ Data-driven spectral turbulence modelling for Rayleigh–Bénard convection ⋮ Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model ⋮ Uncertainty quantification of nonlinear Lagrangian data assimilation using linear stochastic forecast models ⋮ Accuracy and stability of filters for dissipative PDEs ⋮ Filtering nonlinear spatio-temporal chaos with autoregressive linear stochastic models ⋮ Mathematical strategies for filtering complex systems: Regularly spaced sparse observations ⋮ Accuracy of Some Approximate Gaussian Filters for the Navier--Stokes Equation in the Presence of Model Error ⋮ Parallel probabilistic graphical model approach for nonparametric Bayesian inference ⋮ Mathematical test criteria for filtering complex systems: Plentiful observations ⋮ On completeness of quadratic systems ⋮ An algebraic method for constructing stable and consistent autoregressive filters ⋮ Reduced one-dimensional models for wave turbulence system ⋮ Test models for improving filtering with model errors through stochastic parameter estimation ⋮ Improving filtering and prediction of spatially extended turbulent systems with model errors through stochastic parameter estimation ⋮ Multi-model communication and data assimilation for mitigating model error and improving forecasts

Uses Software

• EnKF

This page was built for publication: Filtering nonlinear dynamical systems with linear stochastic models