Non-Gaussian test models for prediction and state estimation with model errors

DOI10.1007/978-3-642-41401-5_4MaRDI QIDQ5261566zbMATH OpenOpenAlexFDO

Authors Nan Chen, Andrew J. Majda, Michal Branicki

Publication date 6 July 2015

Published in Partial Differential Equations: Theory, Control and Approximation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41401-5_4

zbMATH Keywords

predictionFokker-Planck equationsinformation theorymodel errorturbulent dynamical systemsFeynman-Kac frameworknon-Gaussian test models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Information theory (general) (94A15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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• Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions
• Test models for improving filtering with model errors through stochastic parameter estimation
• 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
• Non-Gaussian test models for prediction and state estimation with model errors
• Improving the prediction of complex nonlinear turbulent dynamical systems using nonlinear filter, smoother and backward sampling techniques
• Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions
• Recursive prediction error identification and scaling of non-linear state space models using a restricted Black box parameterization

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