Coupling techniques for nonlinear ensemble filtering
From MaRDI portal
Publication:5044993
Abstract: We consider filtering in high-dimensional non-Gaussian state-space models with intractable transition kernels, nonlinear and possibly chaotic dynamics, and sparse observations in space and time. We propose a novel filtering methodology that harnesses transportation of measures, convex optimization, and ideas from probabilistic graphical models to yield robust ensemble approximations of the filtering distribution in high dimensions. Our approach can be understood as the natural generalization of the ensemble Kalman filter (EnKF) to nonlinear updates, using stochastic or deterministic couplings. The use of nonlinear updates can reduce the intrinsic bias of the EnKF at a marginal increase in computational cost. We avoid any form of importance sampling and introduce non-Gaussian localization approaches for dimension scalability. Our framework achieves state-of-the-art tracking performance on challenging configurations of the Lorenz-96 model in the chaotic regime.
Recommendations
Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 1257372 (Why is no real title available?)
- scientific article; zbMATH DE number 1134987 (Why is no real title available?)
- scientific article; zbMATH DE number 1934836 (Why is no real title available?)
- scientific article; zbMATH DE number 3251902 (Why is no real title available?)
- A nonparametric ensemble transform method for Bayesian inference
- A random map implementation of implicit filters
- A survey of convergence results on particle filtering methods for practitioners
- An ensemble Kalman filter implementation based on modified Cholesky decomposition for inverse covariance matrix estimation
- An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
- Approximate Bayesian computational methods
- Bayesian inference with optimal maps
- Bridging the ensemble Kalman and particle filters
- Data Assimilation
- Deterministic Nonperiodic Flow
- Ensemble Kalman filtering with shrinkage regression techniques
- Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
- Feedback Particle Filter
- Filtering complex turbulent systems.
- Gibbs Flow for Approximate Transport with Applications to Bayesian Computation
- Inference via low-dimensional couplings
- Likelihood-informed dimension reduction for nonlinear inverse problems
- Multilevel Monte Carlo for smoothing via transport methods
- Nonparametric estimation of large covariance matrices of longitudinal data
- Numerical Optimization
- On the convergence of the ensemble Kalman filter.
- On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
- Optimal low-rank approximations of Bayesian linear inverse problems
- Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
- Probabilistic Forecasting and Bayesian Data Assimilation
- Probabilistic Forecasts, Calibration and Sharpness
- Probabilistic graphical models.
- Regularized estimation of large covariance matrices
- Remarks on a Multivariate Transformation
- Second-order Accurate Ensemble Transform Particle Filters
- Sequential Monte Carlo with kernel embedded mappings: the mapping particle filter
- The frontier of simulation-based inference
- Time series analysis by state space methods.
- Transport map accelerated Markov chain Monte Carlo
- Triangular transformations of measures
Cited in
(18)- A score-based filter for nonlinear data assimilation
- Inference via low-dimensional couplings
- A local ensemble data assimilation algorithm for nonlinear geophysical models
- Efficient quadratures for high-dimensional Bayesian data assimilation
- An ensemble score filter for tracking high-dimensional nonlinear dynamical systems
- Ensemble transport smoothing. II: Nonlinear updates
- Ensemble transport smoothing. I: Unified framework
- Nonlinear parameter estimation by a coupling ensemble Kalman filter
- Filtering with state space localized Kalman gain
- Feature-informed data assimilation
- On the representation and learning of monotone triangular transport maps
- Unscented/ensemble transform-based variational filter
- Mixture ensemble Kalman filters
- Affine-mapping based variational ensemble Kalman filter
- Multivariate feedback particle filter rederived from the splitting-up scheme
- Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
- Bridging the ensemble Kalman and particle filters
- Conditional sampling with monotone GANs: from generative models to likelihood-free inference
This page was built for publication: Coupling techniques for nonlinear ensemble filtering
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5044993)
