Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: application to heat transfer in building walls

DOI10.1088/1361-6420/AAC224MaRDI QIDQ4571011zbMATH OpenOpenAlexFDO

Authors

Publication date 6 July 2018

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.09365, http://eprints.nottingham.ac.uk/51562/

zbMATH Keywords

building wallsensemble Kalman filterheat equationnoisy boundary conditions

Mathematics Subject Classification ID

Heat equation (35K05) Bayesian inference (62F15) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Monte Carlo methods applied to problems in thermodynamics and heat transfer (80M31)

Abstract: In this work, we present the ensemble-marginalized Kalman filter (EnMKF), a sequential algorithm analogous to our previously proposed approach [1,2], for estimating the state and parameters of linear parabolic partial differential equations in initial-boundary value problems when the boundary data are noisy. We apply EnMKF to infer the thermal properties of building walls and to estimate the corresponding heat flux from real and synthetic data. Compared with a modified Ensemble Kalman Filter (EnKF) that is not marginalized, EnMKF reduces the bias error, avoids the collapse of the ensemble without needing to add inflation, and converges to the mean field posterior using $50\mathrm{\%}$ or less of the ensemble size required by EnKF. According to our results, the marginalization technique in EnMKF is key to performance improvement with smaller ensembles at any fixed time.

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Cites work

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Cited in

(2)

• A bi-fidelity ensemble Kalman method for PDE-constrained inverse problems in computational mechanics
• APIK: Active Physics-Informed Kriging Model with Partial Differential Equations

Describes a project that uses

Uses Software

• EnKF

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