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

Feynman-Kac frameworkFokker-Planck equationsinformation theorymodel errornon-Gaussian test modelspredictionturbulent dynamical systems

Mathematics Subject Classification ID

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

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• Efficient statistically accurate algorithms for the Fokker-Planck equation in large dimensions
• Non-Gaussian test models for prediction and state estimation with model errors
• Forecasting turbulent modes with nonparametric diffusion models: learning from noisy data
• Recursive prediction error identification and scaling of non-linear state space models using a restricted Black box parameterization
• Rigorous analysis for efficient statistically accurate algorithms for solving Fokker-Planck equations in large dimensions
• Efficient nonlinear optimal smoothing and sampling algorithms for complex turbulent nonlinear dynamical systems with partial observations
• Improving the prediction of complex nonlinear turbulent dynamical systems using nonlinear filter, smoother and backward sampling techniques

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